Actually no. If I download it and like it, I generally go out and buy it. At last count I had ~300CDs and ~50LPs, in addition to various movies/TV shows on DVD or Bluray. So I'd say I've given those bastards plenty of my money. What I personally think needs to happen is they need to improve upon Spotify's current model for music, which is a great idea (unlimited music streaming for a monthly fee). TV shows are already getting the message by releasing full, ad supported episodes online for free, which I think is a great initiative on their part. The stubborn companies need to react to the realities of the digital age of distribution, and figure out ways to capitalize on downloading. Trying to add more and more DRM to the formats clearly doesn't work (see: sales of PS3 consoles v.s. XBOX360 despite the 360 being crackable, the failure of the SACD to integrate itself into the mainstream, etc).
I can tell you right now if CDs were $2-5 I'd probably never pirate again. Instead, they're often around $20, which is a lot to pay for crap you've never listened to before. Most of this is bloat money devoted to the bonuses of rich executives. They're worried because due to internet distribution, artists no longer need major record labels to make money. Many artists, especially smaller ones, sell their albums themselves through their website, cutting out the middle man. They can use sites like last.fm to advertise, or release their first album to a torrent site as bands often do on What/Waffles to gain a following. The record companies are worried that now that big names like Radiohead and Nine Inch Nails have been eschewing traditional distribution methods, soon they'll be edged out of the music business all together.