Thinking about buying quail
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The guy who got me hooked on quail lives in Michigan. He's not allowed to have quail due to local bylaws, but he didn't mention needing a licence, though that doesn't mean that you don't. As chicklover says, it may be dependent on the breed. Generally, coturnix quail aren't considered gamebirds, but some states do require licenses for them. That said, it's not hard to keep 5-6 quail a secret.
The guy I know in Michigan keeps them in his garage. He is worried about the noise the males make, so he tends to cull them at 5-6 weeks when they start crowing. My neighbour across the street tractors hers and I can't hear them from 20 feet away on a quiet street but a lot can depend on the level of dickosity of your neighbours and how close the birds would be to them.
I currently have 3 hens and 39 chicks in my basement. I can hear the chicks sometimes, but the hens are quiet. I change the bedding frequently for the chicks and use a home-made cardboard tray lined with plastic with some newspaper for the hen's droppings. Keep on top of it and it's not readily apparent. I'll move them outside, probably in a week or so, but when I do that, I'll probably lose egg production for a week or so.
You can keep 5-6 quail in a 2'x3'x12" cage, so it's not a lot of space. The real issue is that you may find that you want more eggs than you'll get with that many and you'll start thinking about raising them for meat too, so 5-6 quail is just the start. I'm thinking of hanging around whole food stores and giving away 4 quail to people. Once I've done that, they'll be hooked worse than crack and I can sell them dozens more. Be wary of quail pushers...