If by downloading a cd illegally I am stealing because the fact that I didn't pay for it costs the labels money, well, I would have cost them the same money either way. Because I wouldn't have bought a completely unfamiliar CD for such high prices. So, I cost the label the same amount of money either way, but by downloading the CD I am much more likely to buy tickets to that band when the have a concert near me. I am more likely to buy a t-shirt. I am even more likely to buy the CD itself, because I want it and it has pretty cover art that I wouldn't have cared about in the first place, had I never gotten into that band.
So, illegal downloading benifits the artists and screws the labels over. I would totally download music illegally if I weren't technologically illiterate. Now, back to my sad existence of paying for music.