I get promotional copies of CD's that are digitally watermarked with a code that will identify me should I sell of upload the music. My name is actually printed on the disc along with a serial number, and the label definitely tracks each and every person the CD's are sent to. This would be one way of tracking illegal uploads, but if you never upload or transmit the tunes, I don't see how they would catch you. I think it would also get cost prohibitive and add privacy concerns. The CD's are sealed with a sticker saying that by breaking the seal you agree to the "rules" just like on software, and an 800 number for you to call to arange for free return of the CD if you don't want to comply with the rules.
For the record there is nothing at all written on them that prohibits copying them to an I-Pod or laptop for listening purposes, leading me to believe that the labels don't think that this is a problem, just the RIAA goon squad.