It is not illegal even though many have come to believe it was. What is illegal is to cause unnecessary suffering, and feeding live in public is also prohibited.

"Although the Protection of Animals Acts 1911 to 1964 do not prohibit the feeding of animals with live prey, the live feeding of vertebrate prey should be avoided save in exceptional circumstances, and then only under veterinary advice. Where any live prey must be used, its welfare must be considered as well as any potential injury which might be caused to the predator." (D15 - Secretary of State's Standards of Modern Zoo Practice)
http://wildpro.twycrosszoo.org/S/00R.../L_UK_0011.htm


Animal Welfare Act
http://www.legislation.gov.uk/ukpga/2006/45/contents

f course because of this as well as tremendous pressure from various groups finding live preys in the UK is not gonna be an easy task however it is not illegal.