It is not legal to download copyrighted work and you can get in trouble if you get caught.

If it bothers you, don't do it. If it bothers you some, treat it like shareware- download some tunes, if you like the artist and find yourself listening to a tune a lot, go buy the CD. If you listen to it once and hope you never have to hear it again in your entire life, delete it and don't worry about it.

Just my thoughts.