A buddy and I were out the other night shooting practice instrument approaches when the approach control and tower at the airport (KPUB) closed up for the night. They told us to contact center for further approaches. We did so, and ended up spending twenty minutes holding waiting for the controller to clear us for the next few approaches. There was no other traffic in the area, but the controller didn't seem to understand what we were requesting. So here's the question: is there anything illegal about shooting practice approaches in VFR conditions into uncontrolled airports without talking to the local radar facility? Seems to me that you should be legal. I understand there could be issues with traffic and such, but this was around 1am with no one else in the area.