Open HD video page in Safari.
Open Activity window.
Find URL of video (the one that's multi-megabytes long and probably still downloading as you're looking through the URL list.
Select the URL.
Option-double-click to download the file.
(Edit - I did the below steps initially before I realized there was a much shorter way to do it!)
Hit Edit|Copy.
Open Terminal window.
Type the following:
curl "<cmd-v>" > video.mp4
Wait as the video file is downloaded into your home directory and named "video.mp4" (or whatever you want to call it).