well directly no, you're not breaking a window and taking money out of their homes, but by downloading the music rather than buying it you are hurting sales.
i don't see it as stealing but from a business point of view it's definately hurting the artists and record companies.
but it's unavoidable. that's why there really needs to be a push on things like itunes where you can pay to download a song or album. i've downloaded albums off of itunes when what i wanted was available. if what i want is not on itunes i will download it elsewhere for free if need be. or if i just want one song i will dl for free. if i like the artist and want to support them i will download the album on itunes, it's cheaper than buying in stores and still supports the artists, and creates less packaging and waste. i think it's a brilliant idea and more artists/labels need to make their albums available.
also i listen to japanese music and it's not readily available in north america. if i have a choice i will buy the album legally, on amazon or cdjapan or whatever, but often imports are horribly overpriced. when i was desperate for a couple of albums i really wanted and couldn't afford to pay $50 each, i checked ebay. i found them, bought them, and when i got them i realized they were bootlegs. i felt so bad, because i want to support the artists and i want to increase the demand for their music in my country so they will release future albums here where i can get them more easily. buying bootlegs solves nothing. so now if i can't get a sealed legal copy i buy them used on ebay and only buy ones that state on the auction that they are legal copies by --- label. i'd rather buy new to increase demand but if i can't get them legally i can at least buy a used copy and be confident that i am not supporting bootlegging.
it's a tricky business, and what it comes down to for many people is availablility. i'd say most people who buy or download music regularly at this point have mp3 players, it only makes sense for artists/companies to make changes to keep up with the technology and trends.
like Radiohead has. i'm not a big fan by any means but i love the idea of selling their albums privately online. setting our own prices, well some people won't pay anything and some people will pay full album prices or more to help support the band, so without a record company taking a chunk of the profits, it probably balances out pretty well in their favour. i don't know what the sales figures were on it but i think it's a cool idea
I'm singin' here to get rid of fear
Hope it disappears right here with the rain
But I know life is pain, not like a fairytale
Meaningless to pray, so just goin' on my way
~Miyavi "Torture"