i thought about this a lot and it's a conundrum. first of all, i read somewhere that the arcade fire sold about 200,000 copies of Funeral. this might be the album of their career, and it's sold relatively few copies. the live shows are always packed thuogh, and that most likely means that they could have sold half a million if there was no such thing as downloading. so in a way, downloading also hurts the smaller guys because as many people lament, it's hard to find their albums. on the other hand, the hype does set them up for more album sales for their next record, if it doesn't suck. interpol didn't sell too many copies of "turn on the bright lights" but did sell more of "antics" even though imo "antics" was worse.
the whole "i dl because my record store doesn't carry them" is starting to make less sense, because you can order a lot of those artists's album online. the biggest obstacles in this is probably that it takes a few days for you to get the album while downloading is right there in front of you. it's pretty tempting.
for the record, i do download a lot and i buy maybe 3-6 albums a month if i like what i hear first.