Downloading a Bandana Blues episode manually is quite easy.
First click the headphones-download button on the home-page to get to the podcast page.
On the podcast page, every show has it's own player that you can use to stream that particular show.
The player looks like this:
Click on the download symbol that is pointed out here by the arrow.
A window will appear in which you can save the show on your device to a destination of your choice.