Nope. I always buy the physical CD or buy it digitally through iTunes or Amazon MP3. The only time I download music online is if it's a bonus track from a different version of the album that's exclusive to another country. Or if it's an album-only track on the iTunes deluxe edition of the album when I already purchased the physical album. But that's not illegal because I already bought the album. I'm not going to buy the entire album again for one song. I only do that for Adele because she's my fave. I bought five different versions of 21.
I can't remember the last time I did that.
If I don't like the song enough to buy it, it won't be on my iTunes.
I just stream them on soundcloud or YouTube when I want to hear them