Definately get the security sorted, I've piggybacked before and it was easy when said wireless router was not properly secured, even just changing the password will help stop idiots like me jumping on your router! Would just like to say, I dont do it anymore!
Also, its not just illegal music downloading you need to worry about, its anything that can be downloaded including certain types of illegal (and dispicable) pictures, which can be, as far as I'm aware, traced to your router/broadband account! Get it sorted and quick!