I was thinking to use the Late Republic Romans such those Balcks figures - Legio However I am not whether they could be transferred to Cossacks.
I'm sure they can be packed to cossacks format, I don't see why you wouldn't be able to do so, but you would need both permission from the creator and the full sets of model frames, not just those forum imagery, which does look nice, btw.
wouldn't it be illegal to transfer from rise of nations and/ or AOE?
It would, unless permission is granted by all parties involved. GSC usually is not a problem and it's more off a formality asking them permission, but getting Ensemble Studios/Microsoft to give you permission for using AOE stuff for example in a game that isn't theirs, don't know bout that really.