I've streamed tracks to my iPad, my iPhone, and my Macbook Pro. Nothing is stored on any of the devices. It's real honest to goodness streaming! Really.<br />
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Edit: Whoops! Not true. I double checked and while the Mac is definitely streaming, it appears the iPad and iPhone are indeed downloading each song! (Sorry Chris, I should never have doubted you.)<br />
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This is exactly the opposite of what you'd want to happen. It should download to the device with the large hard drive, but stream to the ones with limited storage space. And if you can stream to one device, why not stream to them all?