Buy and rip CDs, buy music from Bandcamp and Mirlo, and if your preferred music is not there you could buy merch or something and get the album from soulseek/torrent. If the artist has a patreon or similar drop a couple bucks.

I use jellyfin as my media server, super easy to setup. You can use tailscale to access jellyfin from any device without having to put it on the internet.