I use
DownloadThemAll! for this purpose. While it doesn’t have the exact same functionality as stand-alone download managers, it does enable you to define filters for the automatic queue of files directly linked on web pages. For example, one could set AutoDownloadThemAll to automatically add any files with the .mp3 or .ogg extension and then download them to a directory of your choosing. If the site has many links that require going into a separate download page, then you can always just queue the individual links, which will reduce the strain on your connection when going back and forth between pages. I have found this to be a lot more efficient than downloading them individually.
Jam it back in, in the dark.