You actually support the band more when you go to their gigs as opposed to buying their records. Sure, record sales are what keep the label interested in continued relations with the band, but hardly any of that money makes its way to the musicians. If you are really interested in supporting them, buy up all their merch and go to as many gigs as you can get to.
Having said that, I preffer to have CDs, yes. It isn't always feasible though as I'm struggling with a meager budget and right now... insane tertiary education payments. The exchange of pirated records comes in handy for two reasons:
1) I get to sample material from bands I may otherwise have never heard of.
2) I get to have records of bands I would never usually have forked out the $ for to buy the album anyway.
In that sense, said band aren't losing anything through my piracy, yet in a sense gaining because I'll be discussing their music and recommending it to others who may feel the initiative to actually go out and buy one of their records, see one of their gigs etc.
I think the metal scene definately benefits from the sort of international exposure that the mp3 trade gives. Although it doesn't help that some people are compulsive pirates, with absolutely no CDs in their collection.
It's a big double-edged sword, but I think in general it has had more benefits for the underground markets than cons. As for the mainstream industry and their incessant money hoarding and bitching... good for them, they deserve to get shot down in flames, along with all their manufactured 'fast food' music.