The Audio module can block downloads for visitors who aren't logged in. Check Block Audio Downloads in ACP > Modules > Profiles > Audio > Global Config and save. Its help text: Enable this option to prevent audio downloads for logged out users.
Logged-in members can then still download audio files, and visitors can't.
Audio files that are for sale can't be downloaded either way: buyers get them through their purchase.
Earlier versions of this page changed the Audio module's item_detail.tpl template to send logged-out visitors to the login page. You don't need that change with this setting.