My previous character, C'kayah, was a smuggler, and I tended to do a lot of smuggling RP in-character, so I've got a lot of insight into this.
The big question that I think you'll want to answer for yourself is how big of a smuggling operation do you want to have?
Do you want to be one person with their chocobo? If so, then you want to concentrate on small, valuable things. C'kayah operated in this mode for a long time, smuggling rare perfumes, potions, drugs, poisons, and jewelry. You don't necessarily need to find things that are illegal, just things that you can carve a niche out with. For example, C'kayah has ties in the Black Shroud, so he was able to get access to a lot of poisons and potions from the Moonkeeper and Duskwight families living there. Most of these are fairly illegal. But at the same time, he also carried Duskwight jewelry. It was valuable, and it was hard to find (because so many Duskwight families are insular), and it provided a nice cover story.
Do you want to be one person with a wagon? That's actually harder, in my opinion, than being one person with a chocobo. You can avoid official attention by being one person on a bird, but we know from the cutscenes that wagons get stopped and searched. You could either carry larger cargos (liquor, weapons, etc) or carry legitimate cargo in the wagon with secret compartments underneath for small, valuable things. The latter would make you more of a legitimate merchant, doing smuggling on the side to supplement your income.
Do you want to be involved in a larger organization? This is where you start getting into things like caravans of wagons, or ships. This is the scale you'd be operating at in order to get into things like smuggling slaves. If you go this route (and C'kayah eventually did, controlling an organization that ran a fleet of wagons and had connections with shipowners), I'd highly recommend finding other people to do this with. If you're a solo RPer who says "I captain a smuggling ship!", you'll get some pushback from people. If you're part of a group of 6 RPers who all play smugglers on a ship, then suddenly you're a lot more believable.
The big question that I think you'll want to answer for yourself is how big of a smuggling operation do you want to have?
Do you want to be one person with their chocobo? If so, then you want to concentrate on small, valuable things. C'kayah operated in this mode for a long time, smuggling rare perfumes, potions, drugs, poisons, and jewelry. You don't necessarily need to find things that are illegal, just things that you can carve a niche out with. For example, C'kayah has ties in the Black Shroud, so he was able to get access to a lot of poisons and potions from the Moonkeeper and Duskwight families living there. Most of these are fairly illegal. But at the same time, he also carried Duskwight jewelry. It was valuable, and it was hard to find (because so many Duskwight families are insular), and it provided a nice cover story.
Do you want to be one person with a wagon? That's actually harder, in my opinion, than being one person with a chocobo. You can avoid official attention by being one person on a bird, but we know from the cutscenes that wagons get stopped and searched. You could either carry larger cargos (liquor, weapons, etc) or carry legitimate cargo in the wagon with secret compartments underneath for small, valuable things. The latter would make you more of a legitimate merchant, doing smuggling on the side to supplement your income.
Do you want to be involved in a larger organization? This is where you start getting into things like caravans of wagons, or ships. This is the scale you'd be operating at in order to get into things like smuggling slaves. If you go this route (and C'kayah eventually did, controlling an organization that ran a fleet of wagons and had connections with shipowners), I'd highly recommend finding other people to do this with. If you're a solo RPer who says "I captain a smuggling ship!", you'll get some pushback from people. If you're part of a group of 6 RPers who all play smugglers on a ship, then suddenly you're a lot more believable.