A lot of people say that the artists have enough money anyway, but actually it's the poor bastard studios that tend to lose out from piracy, and a lot of them have a surprisingly rocky time financially, meaning unemployment, market uncertainty etc.
And it is stealing, yes, though the problem with all these anti-piracy adverts that make a direct link to stealing is that they are psychologically mis-directed. The reason people tend to not look at it that much like theft is because it is stealing that does not deprive the original product. If you steal, say, a car, the crime is that not only did you not pay for the car, but that the owner of the car is deprived of it. Doesn't happen with downloading tracks; effectively you created a new product rather than taking one from anyone.
I'm not saying it's not wrong, but people do think about it differently for that reason. A lot of British DVDs these days are prefaced with an irritating advert that says things like "You wouldn't steal a car etc. so why steal music?" and it's useless; virutally no-one wull equate the two activities for the reason I mention above.
All that said about the companies losing out... it's clear that the culture of how music works is changing. Companies offering cheap direct downloads are doing the very sensible thing, but it's possible we are approaching a future where information can be transferred so easily that trying to keep something like recorded music as a saleable commodity will become impossible. That might just be how it is.