Is it ever ok to download music without buying it?

Tim Bob's question reminded me of this. *waves manically at Tim Bob*
Ok, feeling really guilty right now. I listen mostly to foreign bands
and I try to always buy the MP3 albums if I can find them, but they
aren't always available in that format and sometimes I have to buy the
CDs. However the problem is, that sometimes those CDs ain't cheap. I
mean I can come off 11.58 for a CD but 20 and 43 dollars (yes, 43
dollars) in my opinion is too damn high for one CD. So I just convert
YouTube videos to MP3 songs.

I like to try to support the artists, which is why it bothers me a
little bit. I used to not care but now it nags at me when I do that.
Should I feel guilty about it?