Harvey's right of course - where it's possible to buy a record, making a copy from a borrowed one, or off the internet is cheating them. Apart from when you might copy something in order to see whether you might want to hear it, which is no different from listening to a record in a shop before you buy it.
And there might also be times when there was a single good track on a record that you'd never dream of buying because the rest of it isn't much good, so there is no loss of revenue.
But where a record has been allowed to go out of circulation so you can't buy it, it's a different matter. Too many great records have been lost that way, and the singers and musicians effectively wiped out so far as most people are concerned. In those circumstances copying them isn't theft, it's more of a duty.