Personally in my workflows I set it up so all the output datasets I want to download are automatically tagged with something like 'export' .
When I periodically want to download all these tagged datasets (even if they are distributed across multiple histories) :-
1 create a new history which is temporarily used to copy all datasets for downloading in a single step.
2 go to user > saved datasets. Then use Advanced Search to identify the datasets I want using the tag (and name if necessary) . Check-box the files I want then click 'copy to current history' button at the bottom of the page.
3 goto the current history ( the one created in step one) then select history options> export to file.
4 delete temp history.
This works for me. Thanks Guy