If you want to download the set as a torrent (to save pushshift.io some bandwidth cost), you can do so via

  magnet:?xt=urn:btih:UGFLA4QNEXGEFKYYY5ZU37JIHWEEYY5R&dn=reddit_data&tr=udp%3a%2f%2ftracker.openbittorrent.com%3a80&tr=udp%3a%2f%2fopen.demonii.com%3a1337&tr=udp%3a%2f%2ftracker.coppersurfer.tk%3a6969&tr=udp%3a%2f%2ftracker.leechers-paradise.org%3a6969

which I have put together. It contains the data up to April 2016.

If you want to work with this dataset on your workstation, there are some code examples in https://github.com/dewarim/reddit-data-tools