I think it is pretty immoral to steal intellectual property - music, movies, books etc. Those are the products of people's labour, jobs depend on payment for them and artistic endeavour deserves reward. So I really don't feel comfortable about not paying for that stuff.
Sport though, I feel not the slightest compunction in not paying for. First of all, who's job is at risk if BT or Sky don't get full payment from me? Meh, a tiny, tiny number of people in TV companies maybe. It's negligible. Do the sports suffer if I don't pay a sub? Hell no - all these sports are ridiculously rich already. In fact, if anything there is too much money and a little less coming in would make shag-all difference. The sports themselves will live on forever with or without TV money. I suppose there's some concern about trickle-down payments to lower clubs, but if all boats rise and fall on the same tide, relatively speaking grassroots football shouldn't suffer.
Finally, sport doesn't belong to Sky or BT. Yes, the commercial enterprises attached to sports belong to them, but not the sports themselves. If it is immoral for me to steal the broadcasters' presentations it is less immoral than me being deprived of watching sports I love and have put emotional energy into over the years. In that scenario, I'm less wrong than they are.