I've been on a really slow internet connection lately, but still wanting to download podcasts to listen to on my iPod. This is where iTunes really fails - its downloading through slow connections is terrible. You can download the files with a download manager (I'm using FreshDownload), but iTunes doesn't provide an easy way to actually put the files into the Podcast directory where you want them; it just imports them as regular music files.
At last I found a post on One Horse Blog, where the writer was actually trying to do the reverse - make podcast files appear in the music section of iTunes. The solution is to use the Mp3tag utility and modify a few of the extended tags. After some experimentation, you must at least set these:
: ITUNESPODCAST - 1
: ITUNESPODCASTURL - set to rss feed of podcast - you can copy from another file in the podcast stream
: RELEASETIME - not compulsory but good for sorting correctly, eg 2009-02-02T11:00:00Z
There are other tags you could fill in if you are keen (eg ITUNESPODCASTDESC and SUBTITLE, which are normally the same in iTunes and can be copied from the iTunes RSS feed), but three listed above will get your podcast file in the right place.