No, it is not legal. Copyright means that no one may copy or reproduce the copyrighted material (e.g. the music), including transferring it from one medium to another (e.g. from a digital file to vinyl), even for a person's personal use or "personal copy". Control over reproduction of a copyrighted work is one of the basic rights that comes with copyright.While no one (i.e. none of the music's copyright holders) might notice what you are doing or, if they noticce, care, bear in mind that you could be sued for what you propose to do.