To be fair, Anonymous' trouble with the law has nothing to do with copyright, and people are not generally assaulted by SWAT teams for having folders containing copyright material shared with them. Even in the Megaupload case, the indictment included a long history of incriminating emails, not a single setup by an informant or slip-up.

But yes, if you want to run a file sharing site whose main purpose is uploading copyrighted material, you had better avoid leaving a paper trail containing anything damaging.