I never thought of trying to download all at once until I read your question. It would be easier, especially when you first get a membership. I went back and searched and didn't find any hint of a way to download an alphabet all at once, maybe you should hint to info@cuteembroidery.com? :)

I assume that you have purchased a membership? If so, I think it is a great idea (after all the letters have been released) to be able to download the entire thing. Of course, if you are just a "freebie-er", then it would defeat the whole purpose of the "Free daily design" to be able to get the whole thing. =]