The recording industries don't care. They merely want to scare people shitless by filing massive lawsuits for people who download and share copyrighted music.
Downloading music is fine as long as you don't go around downloading full albums, which is what I do. I'd buy more than a couple hundred albums from relatively unknown bands if I could find them in stores, but I don't, so I try to support the bands by buying their merchandise or seeing them live.
I could care less about bands that sell millions of records. Ie. : I would never buy a Metallica album now, those mofos indulge in luxury. Just buy the stuff from bands that you like, but preferably from those that can barely feed themselves. So yeah, go download the latest Snoop Dogg album.
I have well over 80 Gb of downloaded albums in my possession, and I do feel somewhat guilty, mainly for the really underground bands that I've fucked over. Like you said, it is not like the company themselves are losing much profit, the actual band suffers slightly. I would purchase numerous albums if they were priced reasonably, were available to me other than through ordering them, and most of all: if I had all that cash.
So if you want to support your band/artist, and they're under a big-ass label, then support them by other means rather than buying their albums. Less cash for the greedy bastards behind the RIAA.
Once again: www.boycott-riaa.com owns you.