Instead of clicking on download button you have to take download link.
You can do that with "get element atribute", and as atribute use href.
Than use that link in "Download" action. There you have to define
full download file path along with downloaded file name and extension.
So you can define your desirable folder.
While using "Call function in multi-threads" and put remove current element from resource inside the function, it will remove all resource element that has been already used in the function and not only the current element in thread.