VPN is always good to use when downloading illegal stuff but if you don't have one then remember this one thing.
Ill use BitTorrent as an example. When downloading always set your bandwidth allocation for upload to the minimum. In BitTorrent its 5 kb per sec. I think. The reason is this: The only thing they (Major studio production Companies) look for when sending your Internet provider a letter threatening you to erase your illegal download, is how much of the illegal download was uploaded or seeded.
Yup... they can't prove you downloaded the whole file because of so many different factors, but they can prove you seeded the whole file if you let it seed to the max. whats the Max amount? If the file is 900+ Mb (which is a typical DVD) and you let 900+Mb seed (Upload) by letting that file upload then they have you and can prove you downloaded said file. So my point is do not let the file seed.
That's the way things truly work but most think someone can tell how much you downloaded...they can't for sure because of things like TOR or hackers etc...
Just stop once file is 100% downloaded and you are safe...simple.
http://www.demonoid.pw/ (invite only if you know someone on there already)
https://thepiratebay.org/ ( a bit unreliable at times but one I personally use the most)