Right now I use my “downloads” folder as a catch all for all the things (audio, video, pictures and more) that I download from the Web. From there I sort it out to where it needs to go. If you want to add a few more favorite locations to save to from Firefox you can do so with the FavLoc addon.
FavLoc (short for favorite location) will let you set certain folders as favorite locations to easily download files to. For an example, lets say you subscribed to my podcast, the Web Hosting Show and you wanted to send all the mp3s you downloaded to your special podcast folder. With this extension, you would just add your podcast folder as one of your favorite locations, then you have instant right-click and save access to it. No more downloading and then sorting it all out later.
The FavLoc menus will appear on the File menu (for saving pages), the context menu (for saving images and links), and on the download prompt. Sure there are other ways to go about this, but this one was put in place to save us all a little time.