Yes, modded consoles are allowed.
For Genesis / Mega Drive, the region-free modification is easy. There's two settings, East/West and NTSC/PAL. US is West/NTSC, Europe is West/PAL, and Japan is East/NTSC in some regions and East/PAL in others. On the Model 1, there's two jumpers located on the system board that control this, so all you have to do is cut the jumpers and wire them to switches. On the Model 2, it's harder because the jumpers are merely traces on the system board. Note that RF output will not work correctly if you change the NTSC/PAL setting. (Composite and RGB SCART will work, provided that your TV supports the different mode.)
With the Sega CD, things get complicated. There's no region control jumpers; the only difference is in the system firmware. You'd have to physically replace the EPROM chip. One alternative is to add a daughterboard containing an EPROM chip 4x the size of the Sega CD's (128k, so that'd be 512k), and wire up switches to control which part of the chip should be active.
With the Saturn, you should be able to use the swap trick. I'm not positive about this, though.
