It depends on the artist and their contracts of course, but for normal (non-indie) artists with labels, this is well-known and you can read all about it all over the internet.
Generally, most bands make most of their money from touring, both from ticket sales and especially from merchandise (T-shirts etc.). They don't normally make much from CDs, and very little from streaming, that mostly goes to the label.
So if you really want to support an artist, go to their concert and buy a t-shirt. If a concert isn't convenient, you can probably buy a t-shirt from their website. This will do a lot more for their personal finances than worrying about copyrights.
Personally, though, I do like to buy CDs of artists I follow, and I normally rip my music in FLAC from those. A lot of the CDs these days are quite nice, with cool books sometimes.
