Going to flag this question for now, as it has more to do with copyright than it does Pokemon, however, I'll still provide an answer that I believe is correct here:
I have limited knowledge about copyright, but, as far as I know, yes it would be illegal to take any song and use it for something without permission from the holder of the copyright of that song. However, just because it's illegal doesn't necessarily mean that you WILL have action taken against you, but don't expect it not to be taken against you.
Also, it's worth mentioning that there are a few exceptions in which using copywritten material without direct permission from the holder of said material is legal. The first, and most obvious, is if the owner of the material in question states that it's fine for anyone to use whatever is copywritten. The other situations in which use of copywritten material is legal is when said copywritten material is used for parody or education.