Living in Canada, If I find myself in a situation where Sharia law and Canadian law are incompatible, which should I follow?
For example, I would like to practice polygyny. I would like 3 more wives, but Canada permits me to only have 1.
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You example isn't very good in terms of incompatibility. Polygyny is permitted in Islam and not obligatory, indeed it is not permitted if one can't dispense equality and justice between his wives ... and it is not permitted if one has made an Oath to the contrary or accepted a condition contrary to it in one's marriage contract. Obeying a ruler, on the other hand, is obligatory in Islam(src) (as long as their obedience does not lead to disobedience to Allah), as is fulfilling contracts. So, according to Islamic point of view you would have to refrain from polygyny or migrate to a land where it is allowed. Other options could be to campaign\vote for a change in legislation that would make an exception for Muslims etc.
In general terms, where there is prohibition on performance of religious duties such as prayer, Muslims are required to emigrate to a land where they can practice their religion freely.