I've seen/read interviews with established rock bands who have said that buying their CDs don't give them a whole lot of money. Buying a CD will net that artist maybe a dime. The majority of the cash you doled out goes to the record company and the record store at which you bought it. The artist gets close to zip.
Where these artists do get their money is from selling tickets to their shows, and from selling merchandise, like posters, T-shirts, programs, stickers, stuff like that. But that's for more established artists, I guess.
For the young and struggling bands/artists, if they don't see a whole lot of sales, the label might choose to drop them from their roster, which may not be a good thing for them.
For independant bands, buying their CDs is just as important as buying their stickers, posters, etc.
So I think downloading/copying is not such a bad thing -- just takes money away from the labels. Buying tickets to see the band -- now that's where they're getting compensated.
cheers,
supervij