If you're like me and don't want to risk ANY chance at all of getting caught downloading songs, an easy way is to download Aktiv mp3 recorder. What it does is it records the audio happening on your computer and saves it to a .mp3 format. Great quality too! You just have to adjust a few settings.
So all you'd be doing is going to a site like grooveshark, listening to the music and recording it. Simple. Undetectable. b^_^d