With all due respect Foxer, that is bad advice.
Fact is it's illegal to export them from the US unless you are registered with the DDTC. The CBSA (Canadian Customs) won't care, but if you get stopped at a random check by the CBP (US Customs) on the way out - yes they do that - the best case scenario is that they confiscate your parts and put you on a list that will get you shaken down every time you head south from then until forever. This applies to all firearms parts listed on the USML (United State Munitions List)... including ammo.
Here's a link to the USML for reference...
https://www.pmddtc.state.gov/regulations_laws/documents/official_itar/ITAR_Part_121.pdf
If you have any questions about this please let me know and I'll be happy to provide clarification.