They still lose money on each console, but it's a MUCH smaller amount than it used to be, it was predicted that they lost $400 at launch when the console dropped in price. The manufacturing techniques have cut cost's significantly. They don't lose anywhere near $400 per console :P
[Edit] In my opinion, I don't think they lose more than at most $50-75.
From 0 to KICKASS in .stupid seconds.