While pynchonesque is right to be concerned about taxes, I don't think his/her advice is definitive. If you receive a rebate of your purchase price, that is not income. For this reason, rebates from cash back credit card rebates are not taxed. FF miles can be viewed similarly. The amount you receive on sale arguable does not exceed your basis in the cost the cost of those miles. This is a theory - I am aware of no precedence - I just object to sweeping generalizations.

As for Yanxfan, the miles are not transferable. The airlines give you something - miles - that by their very nature are non-transferable. So when you say it is legal to trasfer them, you are correct that you are not breaking any laws but you are defrauding the purchaser of the miles who expect to have valid ownership of the miles.