I have not spliced in conduit bodies either but it is allowed. There are light fixtures that secure directly to conduit bodies in place of the cover. To use these you must splice in the conduit body.
big guy brings up an interesting point about the grounding.
Part of 250.148
Where circuit conductors are spliced within a box, or terminated on equipment within or supported by a box, any separate equipment grounding conductors associated with those circuit conductors shall be spliced or joined within the box or to the box with devices suitable for the use.
However this section does not apply to conduit bodies.
I do not know anyway you could attach a grounding conductor to a conduit body without drilling a hole in it.