It doesn't matter if it's a CD, a Film, or manual with the instructions to build a spaceship. If you copy it, the original owner doesn't lose anything. If you don't copy it, the only one missing something (the experience) is YOU.
Enjoy!
Of course, if you happen to have some extra money for donations to creators, please do so. If you don't have that, try contributing with a review somewhere or recommending the content, spread the word. Piracy was shown to drive businesses in several occasions by independent and biased corps (trying to show the opposite).
Depends on how you define stealing.
If you say it's taking something away from the original owner then you're right, but if you say it's not paying your share of the costs of a good you're using then you're wrong. E.g. if you go to a concert and don't pay the entrance fee then the concert will probably still happen, but you're not reimbursing the artists and crew for their costs and effort.
Stealing is theft, or in US law larceny, which is very clearly defined. Copying does not meet this definition, hence why copyright infringement is a separate offense.
Theft is a crime, copyright infringement is a civil offense (except commercial copyright infringement, which can be reached if the value exceeds $1,000 - lobbyists worked hard to criminalise what normal citizens were doing and had success in this point, while they still get away with fleecing everyone, both artists and end users).