My preferred option - if I think I will like it - is to use Real Player download or Orbit downloader to download the music and listen to it at my leisure. The Real Player one seems to give the option of downloading for a period of time after you have listened to all or part of the file without having to download it from the start - so I presume it is just retrieving it from Temp Internet files cached on the machine.

Same with Youtube. If you watch something once it plays it off the cached version on your machine it doesn't need to download again.

You've used the bandwidth so you might as well keep it!