You are able to select some entries with shift and right click and select already
If you right click a title you may also already search for only that specific album or artist.
You are also able to change the song download location in the settings.
The rest of the ideas are nice, if I find any time and a solution they may find their way into the app one day.
Are you sure you are using "SciLor's grooveshark(tm).com Downloader" and not the "SciLor's GrooveDownloaderWM"? Everything sounds like the WM version that also runs under windows!