Depends on what sites you use. Certain sites illegaly share files, but there are fee paying ones. You can pay to dl from here , and here I believe. Napster used to be illegal, but was shut down and reopened as a legal site.
The thing about illegally downloading is it breaches copyright on the tunes. Every time a song is played or bought, a fee has to be paid to prs/mcps which is them distributed to those who have a percentage in the song (producers/writers etc). It used to be allowed that you could buy a copy of an album or a track, and then make one copy for your own personal use, but am not too up to date as to whether that is still the case or not.
I guess it is up to you if you want to risk it or not. There are a fair few legal sites about if not.