If you can hear them, you HAVE downloaded them in some format or another. You can use an audio file editor to record streaming media too (not downloaded).
Basically, if you can hear it, you can burn it.
I have most of the Disney related audio tracks stored somewhere on disk or CD (almost 3 gig) and some of them are originals but the vast majority are "fixed" recordings of one kind or another.
Get your hands on a trial version of "Gold Wave" or similar program and try it's functions out. You will be amazed at what you can do!