You'll have to do it for one volume of scripture at a time. Navigate until you're in a chapter of the volume - doesn't matter which one. Press the "Play" triangle. You'll get a popup menu. Choose "Download Media". You'll get options for what to download. I get one option for the chapter and another for the entire volume (e.g. all of the Book of Mormon). Choose the one to download all. Repeat for each volume.
Liz