@Alex Yep, you can just click on the headphones icon of any lesson, and that will allow you to download the mp3 file. I don't know of a way to download them all at once, though.

I find that I need the PDF files to figure out what all the new words are. To be able to download the PDF file, you have to pay for an account, but for ~$50/year, I think it's a pretty good deal.