

Don’t have to have a VPN. Just don’t download new stuff. Material over 5 years old is safe enough. One exception is the occasional artist who has gone copyright extremist, and wants their entire catalog monitored for piracy.
If you are caught, you’ll get a warning from your ISP. It’s largely toothless. After the 3rd warning, they’ll disconnect you from the Internet until you’ve clicked acknowledgment to a scary warning screen that piracy is very naughty and you could be in Big BIG Trouble if you keep doing it.
Long time ago, Humble Bundle was excellent. Now most of their stuff requires Steam.