I think it's not the music industry itself that's getting really battered by P2P. The music industry usually gets their money up front from retailers buying the albums to sell. It's the retailers that take the pooch, much of the time. The stores have to buy albums to stock, and when people start to download, the retailers don't get the sales to make up for the money they spent to pick up the CDs.
It hasn't hurt the bigger retailers, at least in the US. Amazon.com, and some of the electronic stores can (a) buy enough in bulk to get themselves a discount, or (b) can price the albums low enough and accept the marginal loss to cover costs, and lean on the profits made on other goods sold in the storefronts. It's all of the decent, mom-and-pop stores taking the hit, as well as some of the smaller chain stores, like Tower Records. This new splurge in MP3-for-sale sites aren't going to help. Alas, what can you really do?
Personally, I do download. However, I usually end up running out and buying the album, anyway, if I find myself liking it enough. I just hate the idea of tossing money out for a CD that I'm going to listen for 15% of the goods from, and skip the rest.