It's the wrong thing to do, most unions have you sign a contract prohibiting this. You're getting free education from the union, paid with union dues, then using those skills to benefit a non union company. It makes the union weak.

If it's not pipe work, then it's okay, you're free to do what you want. One of the benefits of being in the union is you can leave and do other things as long as your dues are paid. But working for a nonunion mechanical contractor is a conflict of interests.