I have the Save As menu on both my Black and Silver Verizon Qs. But even if you did that, it internally downloads first, so it breaks on big files
What I do, since this is podcasts we're talking about, is use a podcast downloading program called
AudioBay. $6, cheap and works well. I would think
Newsbreak (which now downloads enclosures, Mp3s for instance) works the same way, that one's $8.