Yes, but within limits. So long as the copy that you are making is for personal use, and you do not further distribute the material, and you make no "for-profit" use of the material, then you are in a safe haven under federal copyright law. HOWEVER, Congress has just passed a law which makes duplicating sound and visual recordings this way illegal. The record industry and the Video industry are anxious to protect their products. There is a good chance this will be challenged in the courts.
Some of the decisions have gone pretty far in finding copyright infringements in cases of what might more traditionally have been deemed free speech. For example, in one case critics of a Church made available on their web site certain publications of the Church. The Church sued for copyright infringement and won some limited victories because it was held that the website publisher might have profited from his site in some way and therefore derivatively from posting the Church materials.