If I were concerned about traveling with certain data I would use a travel drive. Swap it in before going, and, as suggested, download what I needed once safely at my destination.
Now I'm wondering if there are other ways to carry that data with me in a format that would resist inspection. For example, on an SD card inside a camera. Or on a DVD. Break up the data into smaller files and named them variations on foo.jog or bar.avi or something, and reassemble things later.
For something like that the question might be whether I could be compelled to install or copy files to the active machine for inspection or evaluation if anyone got wise.