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).
Why would you bother unless you feel you've taken something from the creator that you feel you need to atone for in some way? If you don't feel you stole it, you surely don't owe the creators anything, you deserve the content you attained without payment just the same as someone that paid money for the same content.
Tbh, I was just trying to point out that being grateful is possible. In the same way that you return a smile, or give some money when buying goods or services in a context of a solidarity event. For example the other day people were selling hotdogs for "pay what you want" whole raising money for refugee kids. That's how I approach this, copying/ piracy is "pay what you want" (to creators, not platforms). They made some effort to create it, yes. You are not taking anything from them. Nonetheless, you can express economically your gratitude for what they did. Like, homage to celebs.