There is a lot more then just not sharing files you have downloaded and changing the default folder the music goes to. You are getting it from someone else...sharing. If you decide not to let anyone get it from you it doesn't matter. You still got it from someone else (sharing). I do agree that there are things that can be done to lower your profile, however your IP address can still be traced to you through your ISP.
The example I have is with Bearshare but I am assuming that it can happen with other programs. My boss was notified by the German Government that he is being sued for downloading music from Bearshare. Accordining to the German's, Bearshare was sued and part of the settlement was that they had to provide IP addresses within certain ranges. My bosses IP address fell into the range and it was traced to Germany. The German Government, in cooperation, traced the IP address to my boss. They even provided him with a nice 5 page printout of all the songs he has downloaded. They didn't care who got the songs from him, just that he got the songs.
I personally use newsgroups and not P2P. Seem like all the focus is on P2P so it's a safer alternative (for now).
There is some pretty good information on http://www.riaa.com/default.asp if you are interested in seeing what these bastards are up to.