What does downloading mean?
To transfer (data or programs) from a server or host computer to one's own computer or device
Depends on what you mean by "free music." If the music is free because you're not supposed to pay for it, then downloading it to your phone is probably legal. If the music is free because you're not paying for it, then whether or not downloading it to your phone is legal depends on whether or not you're supposed to pay for it.