Dic: sail close to the wind

• We thought she was sailing a bit close to the wind in her business deals, but she claimed everything was legal.

sail close to the wind: to take risks

Usage notes: often refers to doing something that may not be legal or acceptable

Etymology: based on the literal meaning of sail close to the wind (to sail a boat as near as possible to the direction the wind is coming from)

... Cambridge Dictionary of American Idioms,

http://idioms.thefreedictionary.com/sail+close+to+the+wind