I just downloaded a song. Is it smart to do it again?

I’ve read this post and even asked this before. Anywho I used a program called Frostwire to download a few songs. I will not be sharing it with anyone; I converted them on iTunes and I’m only going to be listening to it on my computer. I could make a whole library out of doing this—is that wrong or illegal? Will the FBI be watching me now? What makes it illegal, if it is? What do you think of what I’ve done?