It doesn´t matter if you burn and delete a song, the download itself is illegal for copyrithed songs. There are some clients which offer copyrithed songs for money, like Napster and ONLY this way is legal.
Of course you can be caught (no risk no fun ), there is no client where you can´t be caught - except for the clients where you have to pay for.

But beware make sure that you don´t pay for the client and think I paid for it and now I am allowd to download, ask if this isn´t clear, if you pay for the music or for the client "only". Limewire for example offers a Pro version for which they ask money but you aren´t allowed to download copyrithed songs. For legal downloads you pay about 0,99 each songs.

Morgwen