I'm just lazy. These are epic!
EDIT: Working on a one liner :)
EDIT: I'm sure it's like some curl and xargs and sed, it's been a while...
EDIT: Oh yeah, I win at internet:
curl http://bbcsfx.acropolis.org.uk/assets/BBCSoundEffects.csv | grep -Eow "[0-9]+.wav" | xargs -I % curl http://bbcsfx.acropolis.org.uk/assets/%>%
EDIT: Wait I suck that doesn't work. This does:
curl http://bbcsfx.acropolis.org.uk/assets/BBCSoundEffects.csv | grep -Eow "[0-9]+.wav" | xargs -I % curl -O http://bbcsfx.acropolis.org.uk/assets/%
-O for dOwnlOad