In most cases, for every pirate, there are several people who have the money to burn, or don't understand the ease of most piracy, or don't have access to the tools required to be a successful pirate (the R4 is actually a little difficult to find these days, and modding your console is a seedy business at the best of times, if you can even manage to find someone who can do it).
I honestly don't pirate games that much... for one, my PC can't handle most games I'd like to play, and two, like I said, console modding/pirating is both a pain and far past my "line". I'll get the occasional old 8/16-bit game, and I do get the occasional movie..
But honestly, I think the "piracy is destroying the world" is quite overblown - yes, the developers are losing some money from piracy, but they're losing way way way more money, on the whole, from the game rental market and the used game market, and that problem is only getting bigger for them, gauntlets are being dropped over the PSPGo. Piracy isn't the big problem.. the huge majority of pirates, if they were unable to get what they wanted via piracy, would change what they wanted to something that they could get via piracy, instead of shelling out money.
They pirate on principle. It's not even about "convenience" or "trying before you buy".. It's about taking some control from retailers. It's saying "I'm taking this, and there's nothing you can do to stop me."
Piracy investigation isn't aimed at the end user. They figure that if they get the suppliers, the "big fish" like PirateBay, that it will cause a hit to piracy in general, but that's not how it works. If they want to destroy piracy, they'd need to take on every single person who does it, because otherwise, someone will get away with it, and do it again. It's like a hydra, they cut off the head, but two smaller heads are waiting just behind it, as two more heads grow from the stump. They'll never stop it, and it would be foolish to try.. they'd waste more money chasing pirates then they'd ever see in returns.. even if they win huge cases against the big fish.. Piracy is a largely non-profit business by its nature (well, it's a 100% profit business if you want to get technical, but there's very little money in it, at least online).. They sue the big companies, win settlements that can never be paid, and waste a lot of money in the process, and get nothing back but some grim satisfaction of a "job well done", as two more hydra heads sprout.
My own personal take on Piracy is pretty much a "no big deal" approach.. I have certain lines that I try not to cross, and I try to be discreet, but I don't think Piracy is as much of a crippling problem as it looks like. The threat of piracy comes from made up numbers and assumptions that may or may not be accurate.
