Here's an article that was new to me: The Problem With Music by Steve Albini. Albini isn't a household name unless you're a hardcore 90s grungehead. Basically, he writes the classic argument that record companies make tons of money and get bands trapped in vicious cycles. Of course, he throws in the mathematical bunch of additions and subtractions that show that bands lose money while they think they've got it made.
I link to this because Steve Albini isn't some random scrub. He was the producer of Nirvana's In Utero, an album that came after Nirvana hit critical mass with Nevermind. The band had it made for real, and so did Albini, and he still went and wrote this article. edit: I haven't found a date anywhere on this article, but I'm going to assume it was written after 1993 (the year of release of In Utero).
From this, I conclude that paying for CDs does not stop artists from getting hurt - every album, every signed contract, and every tour can and does pull bands down into debt.
And since it's the holiday season, Don't get someone a CD for Christmas.