Of course its wrong.
Do I still do it? Yes.
Yes people do make money from music. Yes the people downloading music are stealing from the bands/labels, however, they are still making money from their music from the people that still buy music. Hell, they should be glad people are listening to their music. If I was in a band and people were downloading my music, I would be glad that people liked my music. The musicians that get really upset about people pirating their music are only in it for the money. True musicians write music for the love of it and want to make people happy.
My .02