The better clients come to see me with documents in hand, sometimes boxes and boxes of documents. This is the client who wants to be prepared, who seeks to have some control over the outcome of a potential lawsuit. Some, some very few, will come see me with documents they obtained from their employer. Is it "legal" to have those documents? It depends. See one case where the court found the employee unlawfully took documents home. But, the court indicated a different set of circumstances in which the employee would have been protected for having taken those documents.
But, see Michael Maslanka’s eventual reaction to a situation in which an employee takes documents home and keeps them: better to simply sue and get them the traditional way. That is, Mr. Maslanka would say it is better to file suit and then seek the documents in discovery. He generally represents employers. The safest course is to always do what your employer tells you to do. if the employer says do not take documents home, then do not. But, yes, if the employer has a policy of letting employees take documents home, then it is probably safe to do so. But, you better be double-darn sure. Nothing can ruin a good case than to violate some law or employer policy. If you take something that does not belong to you, then the lawsuit becomes about you, not about the employer.