I did a little looking around online and found a handy extension/add-on called "DownloadThemAll!" for Firefox.
If you have Firefox, you can follow these steps:
1) Open Firefox
2) Go to Tools > Add-ons
3) Search for "DownloadThemAll" and follow the instructions to install. You may need to restart Firefox to finish the installation.
4) Go to this page with all of the "I'm a Mormon" videos:
http://www.mormonchannel.org/Im-a-mormon
5) Right-click or option-click in the margin of the page (not on a link or image) and choose "DownloadThemAll! Selection...". You should see a list of everything the page links to, including the videos.
6) Click on the "Description" column header to sort by that column. All of the videos show "360p," "720p," or "1080p" in the Description column. 360p is low quality, smaller files, and 1080p is high quality, bigger files.
7) Select all of the videos you want, then right click on your selection and click on "Check Selected Items."
8) Specify where to save the files.
9) Click "Start!"
I would recommend doing this overnight as it will probably take a while and it will slow down your internet.