wherever possible I buy a band's CD from their live concerts rather than a record store. I've seen figures for what percentage of a CD's cost goes to various points down the supply chain, and it must be really depressing for a band. If I buy at a gig, the musician gets a much larger percentage of my money.
That's more or less true, I suppose - depends who's doing the concert sales. I've done my fair share of sales at concerts over the years, as well as working in most other sectors of the record industry (shop assistant manager, mail order, distribution company dogsbody ...) - sometimes the concert sales are done on behalf of the record company too.
On the other hand, the artists certainly aren't going to get
less money that way than through shop sales, so yes, what you're doing does have a point.