Downloading files is absolutely harmless in terms of heat, so there is absolutely no need to worry about. If you do something harder, like encoding videos all night (and my MacBook has been doing that sometimes for five days in a row, two processors running at 100% continuously), just make sure that the MacBook or MBP is on a flat surface, lid open, and the back of the lid is not covered. Just don't do anything stupid like putting it on a carpet where the heat can't escape, or on a radiator or on some other electrical equipment that gets hot, and it will be fine.