I think a degree of common sense needs to be applied here.
If you are downloading occasional tracks or albums, then it is highly unlikely that you will come to the attention of the powers-that-be.
Try downloading all the top fifty albums and avertising them for bulk sale, and they will be on you like a ton of bricks.
It's not the occasional users that are targeted, but the serious profiteers, so just be seinsible.
The point about viruses is valid - you are accessing any number of unknown PC's by downloading, with a proportionate increase in potentail virus infection.
Make sure you have good protection - AVG is excellent, and free from the Internet.