I sell albums for a living, and the simple answer to this is "sometimes".
I, for example, give all of my artists EXTREMELY fair percentages of earnings in comparison to most record companies, even the indie ones - and I'm a two-man firm! However, if the artist is signed to a major label like EMI, Sony, or Warner, it is likely that you will need to do far more than just buy albums to get all the money to the artist that they truly deserve.
On the other hand, if you get exposed to a new artist by means of buying a CD used from Head-Fi, you're 100% more likely to go to their concerts and/or buy their merchandise than if you had never heard them before. So, in theory, almost any CD sale, no matter what the source, can be considered "supporting" the artist.