I want to buy songs I like, but I keep hearing about how the artists actually make very little off the sales because it all goes to the record label. I don't want to give my money to the label, I want to give it to the artist. Does anyone know of a way that I can be sure the artist is actually getting the money, or am I fighting a lost cause?
If they are signed to a label then you can't be really sure, and they will only get a cut anyway. If they are not signed then buy from their websites or Bandcamp, or from their gigs.
Go to their shows and buy discs et. al. from their vendor stands. In particular, autographed stuff that goes for a few extra bucks should be pure gravy for the band.
If you're trying to buy from an artist signed to a major label there's really not much you can do. The label takes great measure to make sure they're getting a cut of anything the artist makes through sales, be it music and frequently also merch.
The only way to ensure it is to buy from indie artists through the aforementioned Bandcamp, or sites like it.