This question already has an answer here:
I applied for a visa at the Belgian embassy for Luxembourg (Belgium handles consular affairs on Luxembourg's behalf in my country). I submitted a flight reservation with Frankfurt as my port of entry into the Schengen area. I also declared on the visa application form that Germany will be the Schengen country of first entry.
Now I'm thinking of flying into Paris or Brussels and taking the train to Luxembourg since it's much cheaper. If I do this, will there be a problem at immigration?