Technically it's not theft. It's copyright infringement. And well, I mostly don't do it. I will own up to making mixtapes of the top 40 back when I was a person of little musical taste child, but the record companies lost nothing by me doing that, as my pocket money was 20p a week and I simply couldn't afford a cassette of Barbie Girl by Aqua. (Although I did use to look at it with obvious longing in the supermarket each week.) 
The morality is sometimes a bit hazy though. I once illegally downloaded a computer game so I could join in with the international match that my transatlantic friends had just decided to have that very night, but, as I intended, I bought the real thing a week later. I'd have bought it legally in the first place, if digital distribution had been in place. These days, digital distribution is in place, so I buy legally straight way.
I was definitely breaking the rules, but I don't think I actually did anything morally wrong. I could have waited three days and been given a copy of the game for free by a friend, and the publishers would have got nothing. But it would have been legal. Or I could have not played at all, and the publishers would have got nothing.
I have sometimes infringed copyright because I thought the artists would get more money from me doing that. Before your mouths drop open, let me explain. I can buy an album by this pair of artists second-hand for £1.50. That will include p&p. They and the label supporting them will get nothing of that. But it will be legal and I will have legal ownership. Or I could try Amazon where (if you include p&p) I will pay more than that, and it will support them.
But what if I want to give Jedward some money, but I would rather not have possession of this fantastic musical work of genius if it means paying in the region of a fiver's worth? Then, my friends, I go down to the library, I rent the music (paying £1.50 a week for this) and copy it, before retiring it. I have now funded my local library services, and they will pass some of that money on to Jedward's music label.
P.S I have copied less than 10 albums, either on to cassette or mp3, since I started doing this. That's over ten years. I mainly buy or go without it.