First, you MUST USE MOZILLA FIREFOX AS YOUR BROWSER. Then on the playlist that you want to download (remember, now you are download the whole playlist, not individual song anymore) you click the "Play this playlist" link on the bottom every playlist. After you click that link, the new window will pop-up asking what you want to do next, choose "Save to Disk" option. This option will save the whole list into M3U format (usually the M3U files will saved automatically into Desktop).
After the files saved, open that M3U file with any kind of music player (either Winamp, Windows Media Player, iTunes, etc), then you choose which song that you want to keep from the playlist, highlight the song (you need to play that song), then you click the "File" option (on the Top Left Corner), choose "Save As", pick the destination where you want to save. Eureka !!!... the song you want it saved.
Reference : http://babikecap.multiply.com