In a way, yes, but not the way you think: you're probably thinking that sharing is uploading to others. In the case of P2P however, a more accurate definition is "participating in a transfer of files", which implies that wether you dld or upload files it makes no difference: you are still sharing.
In other words, uploading can get you caught, but so does dlding. As the french would say: "C'est les risques du métier"
However, the actual chance of getting yourself caught is so darn minimal... The number of people actually using P2P is so insanelly huge that, to catch us all, they'd probably have to arrest half the population of Earth! (got jails big enough?).The ones you see getting caught is because they share certain kinds of files which are sure to get them caught. Besides, you won't go in jail like Morg said.