that is not true.
you don't steal the music from your neighbor - but you steal the music from the musician. if you buy a cd - you buy the plastic and the information (the music)-
if you buy a download you only buy the information - which is the intellectual property of the musician. you can copy that for your private use - but the musicians make a living from their work - if you want to own the piece of intelectual work they did (and that's immaterial) you should be so fair and pay him (and forget the music industry - it's like in other branches too - the suply and want money for it - ok - shall be) i think it is ok to think that they take a too big share but that doesn't excuse intellectual theft.
all the best