For anyone not familiar with the BBC's Programme Identifier (PID) system, a bit of explanation. Each programme (episode) has a code - you can see it in the link I posted earlier and in the URL of any programme page you display in a browser. There are actually several levels:

david@pan:~> get_iplayer --preset radio  --pid=b03z7zx8
  ...
  
  INFO: Brand pid detected
  INFO:  Brand: 'World War One' (b03z7zx8)
  INFO:    Series: 'The Ballads of the Great War' (b04n2d2s)
  INFO:      Episode 'The Ballad of the Great War - 1914' (b04m4j7g)
  INFO:      Episode 'The Ballad of the Great War - 1915' (b06nn8bg)
  INFO:      Episode 'The Ballad of the Great War - 1916' (b081mm10)
  INFO:    Series: 'The Songs and Shows of World War I' (b04q0z92)
  INFO:      Episode '1914: We Don't Want to Lose You' (b04q10gh)
  INFO:      Episode '1915' (b06nt201)
  INFO:    Series: 
  INFO:      Episode 'All Is Calm - The Story of the Christmas Truce' (b04ttzjl)
  INFO:      Episode 'Forgotten Heroes: The Indian Army in the Great War' (b04tkz1w)
  INFO:      Episode 'Oh What a Lovely War' (b03thcl8)
  INFO:      Clip 'Christmas trees in the trenches' (p02fkbz6)
  INFO: Please run the command again using one of the above episode PIDs or to get all programmes add the --pid-recursive option
  

So if you want a whole series you can download them all at once. But not all these episodes are retrievable - the 1915 ballads programme (b06nn8bg) isn't - it's too old.