If the material is currently available on CD, I think the "moral" thing to do is buy the CD, as others have said.

But if it's not currently available on CD, or has never been released on CD, then I don't see it's a problem, providing of course it's for your own use. I've also copied vinyl LPs that aren't available on CD, onto CD-Rs, otherwise I'd never be able to listen to them in the car.

I don't see the problem if you paid for the material in the first place, and the artist has had the royalties. etc. All you're doing is making a copy of something you've already legally paid for, in a different format that you can actually use today. I don't regard that as immoral.