Jennifer Pariser, the head of litigation for Sony BMG, says that it's wrong to make a copy of a song you've already bought for your own personal use:

...[Attorney Richard] Gabriel asked if it was wrong for consumers to make copies of music which they have purchased, even just one copy. Pariser replied, "When an individual makes a copy of a song for himself, I suppose we can say he stole a song." Making "a copy" of a purchased song is just "a nice way of saying 'steals just one copy'," she said.