Chaining MX records illegal?

[Chris De Young]

Hi,
Am I correct in my interpretation that chaining together MX records is illegal,
despite the fact that it seems to mostly work?

For example:

chud.net	mx 10	mail.foobar.com.
.
.
.
mail.foobar.com	mx 10	smtp.yahoo.com.

is a no-no?

Thanks,
-Chris