I'm in the European Union where you're free to travel from one country to another as you like, so it isn't a problem. Theoretically I could be borded by a customs boat, but I've never had it happen and suspect it's quite rare. I'm not sure how it would work if I went to a country with stricter control of their borders.

You'd do well to keep your VHF radio open on channel 16 though(this is where boats communicate with each other when at sea). I've had customs call med up when passing the border from the Netherlands to Germany to hear who I was and where I was going. Once they got a satisfactory answer we never heard from them again.

This is quite simple. Every time you sail into a new country you have to approach one of the ports of entry[1]. This has to be the first place you visit and there you can arrange all the formalities (customs, immigration, health, depends on a country). Afterwards you are usually free to visit any other harbour in a given country. Rinse and repeat for each country that you visit.

http://en.wikipedia.org/wiki/Port_of_entry