Tracks: Well, considering your computer and your ISP keep such records, and the person/people you're downloading from may also keep records, it's an easy puzzle to put together should an agency come looking. And, as an FYI, not only do proxies also usually keep records connecting it real and masked IP addresses but it doesn't prevent a tracer from being passed through. (See the recent MySpace incident where the FBI used CIPAV to reel in a user 'hiding' behind proxies to send out bomb threats...link.) In short, they're far better at playing hide-and-seek.
Recommendation: Stop downloading pirated content, delete what you have, and hope for the best.
Legal: Since the downloads are pirated, and hence illegal, this thread is locked. No suggestions may be given that support or facilitate the commission of a crime.
I heard that some people near me have been caught downloading copyright stuff from the internet (movies, music, etc.). I download movies and other copyright files using torrents and once in a while I download a few songs using frostwire (p2p) and delete them from my downloads folder after they are complete. How likely is it that I will be caught? Are torrents much safer to use and harder to be tracked down on? Should I use proxies? If so any recommendations?