It is illegal to download any copyrighted material for free without express permission from the copyright holder.
Limewire is not an illegal program in itself,but using it to download copyrighted music is illegal,it makes no difference whether it is just for your own use.
Limewire is loaded with viruses and spyware, I use Soulseek -it finds music that Limewire can't find, it's a stripped down 'no nonsense' device that downloads in seconds and never goes wrong - it's only for music (ie. no apps/docts/films) it's brilliant.