Morally, I would. Ethically, I wouldn't. Keeping a copy of art shouldn't be wrong. What makes downloading an mp3 any different from taking a snapshot of the Mona Lisa in full detail or using your DVR to record your favorite show. All forms of copying. Art is meant to be shared, is it not?
However, I do believe that the distrubution is both morally and ethically wrong.
One of my graduate professors had a phrase he would occasionally use: "Deathless Prose." It indicated a phrase that was succinct, terse, and aphoristic.
One of the lines from that TV series spoken by Cain was "Rid yourself of those things that force you to serve them, whether they be as sacred as a chalice or as humble as a pebble."
I have gone through the download issue with certain things on youtube and decided to eliminate certain things that I had saved (innocently, if it was actually illegal) and so I deleted them.
It felt good to eliminate something that I had searched hard and long for and though was very important to me and which turned out to be unnecessary when I no longer had ready access to it.
It was not a moral, ethical, legal or other such issue---it just felt good to no longer actively requie something I had though for a period of time that I could not live without.