Well, I think there are Safari plugins that let you directly download a .swf that is playing. (I think SafariStand is the plugin, but not sure...) I myself just tend to go for the direct approach, but then again, I like writing web code.
If you view source, you can usually scroll down through the code to find where the flash file is embedded, (or just search for .swf, but that takes the fun out of it) and copy the url. Sometimes they'll make it easy on you, and have it embedded as an entire url, including the hxxp://. (the t's are x's to avoid bad links >_> ) Other times though, they only refer to the flash file itself (like src='theflash.swf'). In which case you can usually append theflash.swf on the end of the url of the page you are at (hxxp://www.bob.com/mypage.html => make it hxxp://www.bob.com/theflash.swf etc.)
If you get it to load the flash file directly then you're in business 🙂
Just whip up a simple web page in textedit:
<html>
<a href="hxxp://www.bob.com/theflash.swf">Flash Link!!!</a>
</html>
Save it as a .html file and open that up in safari. Right click the link and tell it to save it!
I know, easy right? 😀
Yeah it's probably far to much hassle for most people to bother with, but when there's something you really want, it comes in handy.