My experience has been the same as shady's...you have to show some proof that you paid tax on it to register it in most states. Florida used to have a loophole that would let you get around that, but when I recently tried to register my new motorcycle there I was told it wasn't possible. As such, I bit the bullet and registered it here in Texas (and ended up paying tax on it). My father-in-law got hosed as he got a great deal on a Saab in the UK, but when he brought it back to Maryland they taxed him on the value of the car and not what he paid for it! Needless to say, he was
I think the "tax free" pitch is a fraud, you may not pay taxes on it when you buy it; but most likely you will pay taxes on it when you first register it in the States.
Also, if Volvo or Uncle Sam don't pay to ship it, look into TransCar. They took one of our Passats to Belgium for around $900 back in 2002. They are the main auto shippers for the US government.
Cheers! M2