The Moral Maze: Yes I would because downloading is still legal in my country
You're still in the moral maze though. Being legal is not enough in itself to make something moral. So, if you take a musician's work off the internet (by which I mean music for which (s)he owns the copyright and has not granted you permission to take a copy of) then, irresepctive of the laws, you have taken something of theirs for which payment is usually part of how they make their living. It's arguably the case that by doing this you are taking someone's ability to earn their living from their work away from them, and by extension that such an action is immoral.
So even if downloading was legal here I personally wouldn't be doing it. If I enjoy an artist's work enough to want to have a copy then I feel obliged to buy it out of repect for the person giving me art I appreciate. Getting back to the outdoors, should you use B&M stores to try things on and then order over the internet from another place at a lower price? I think it's a pretty dodgy thing to make a habit of, but it's perfectly legal.
Pete.