I recommend buying your own CDs (at your local music store, directly from the band when you attend their concerts, or on Bandcamp/Discogs), ripping them, and putting them on the local file system of your MP3 player, phone, your car’s SD card, etc. Sometimes if you buy a vinyl record it comes with a convenient download code, and if it doesn’t digital albums are very cheap on Bandcamp.

I also recommend tuning regularly onto your favorite radio station (mine is KEXP Seattle; and Rás 2 in Iceland) particularly when they have live performance to discover new music.