Speak with local wildlife authorities in the foreign country about the legality of your purchasing a bird and taking it out of the country -- just because someone's selling it doesn't mean they can legally. Ask for written approval from a wildlife official before you make the purchase, in case you run into difficulties down the line.
Take the bird you want to purchase to a reputable veterinarian prior to handing over the cash. In addition to ensuring the health of your bird, doing so ensure it doesn't have any diseases, parasites or conditions that will prevent it from being allowed into your home country.
Confirm with your airline that you can bring the bird on board and if not, obtain a carrier for the bird which is weatherproof. If you simply put the bird in the plane's cargo hold without an appropriate carrier, he could freeze to death from the cold temperatures in the luggage hold or experience respiratory failure from the lack of oxygen.
Declare your bird upon entry to your country, keeping in mind that you may be required to submit it to a period of quarantine. This is a short period during which local authorities will test the bird for any communicable diseases and make other assessments of its fitness for being brought into the country. If you've made the proper preparations, you won't have to worry about your bird being denied entry.
