Still, downloads are easily threatened by storage failure (internal/external)--literally in the blink of an eye, it can all vanish or become corrupted beyond repair and/or use. Of course if someone is thinking you can back up the downloads on a CD...then you would have been better off buying the box set anyway.
Well, sure, it's a given that you should back up all your computer data. That's just basic common sense. And you can back them up onto anything -- CDs, flash drives, your portable music player or phone, or all of the above.