How do you buy music?

Or do you buy music at all? Actually this is not meant to be a survey of any kind, but more like I need getting this off my chest. CD sales are dwindling and the music industry is having severe problems – or at least, so we are told. However I’m one of the loyal soldiers still fighting the war from trenches, so once or twice every week I visit my local CD store, to see if anything interesting has arrived. And I read newspapers, reviews etc. and somewhere in my brain I store all the important release dates.
For years the pattern has been like this and the normal procedure was that on Mondays I read the reviews in the papers at work, and then hurried to the CD store after work, to pick up the weeks’ important releases. The system worked and if I was really lucky, it happened a few times that I was able to get the releases a few days before the official release date, because the parcels had already arrived (to make sure that everything was ready for Monday morning).
However the past few years things have slowly (and recently more rapidly) changed in an unpleasant direction. I still read the reviews and I continue to spend a shitload of money on those shinny things, but frustratingly it has become increasingly difficult to buy the music at the time of its release. Instead I often have to wait 3-4 days, before the new releases arrive at the shop/in my mailbox. Why has it become like this? Several reasons probably, but one thing I hear again and again is, that orders have to reach a certain size before they can be shipped, so instead of receiving parcels every day, the store only get them once/twice a week.
And with sales dropping the stores certainly don’t want to burn their fingers on stuff they cannot sell, so obviously they want to risk as little as possible, refraining from ordering any new releases by minor artists (meaning that I have to ask them to order it for me). I certainly don’t blame them for this very business like approach. Especially when you take the size of our city into consideration, where the number of music nerds like yours truly is fairly limited.
As an alternative I’ve tried ordering new releases online, naively hoping that they will ship the CD’s Friday/Saturday, so they’ll be in my mailbox Monday morning. Unfortunately this switch of strategy has proved to be equally unsuccessful (they don’t ship anything before Monday morning, and with the awful service Post Danmark is providing, it easily takes the same 3 or 4 days, before I’ll have the pleasure of listening to anything), so I’ve gone back to supporting the local store.

As a final comment, I know digital downloads will eliminate this problem once and for all, but I still want the CD's as the physical evidence that I’ve actually purchased something (back to that good old “is music tangible or intangible” discussion).