I hold 3 pyro licenses in the state of Texas and have done professional fireworks shows for 7 years. What type of pyro effects are wanting to use? Where are you wanting to use them? Are you thinking of building your own or buying a rig from a reputable company? All these factors need to come into consideration. Once you have answers to these questions, CONSULT YOUR LOCAL FIRE AUTHORITY. Whatever they say goes. Play nice and don't try to sneak around them.
If you have more details and I may have more useful info for you. -JF