I use a Youtube to MP3 converter. I just pop in the link of the song on Youtube, press download and voila. You can find a few of them online.
Also, I used Torrents to get full albums (isohunt, PiratesBay), if I like the album and I think it's worth the money, then i buy it. There haven't been many of those lately though, aside from classics from MJ, Prince, NiN, etc ...