First of all, you can save the following Youtube Playlist:
http://www.youtube.com/view_play_list?p=8ABC2CB7972A3341
You can access all songs anytime you want to.
If you want to save them as AVI or MP3, you can use http://vixy.net/flv_converter as described by tuixiu.
If you want to save them as FLV, you only need to install free RealPlayer from http://www.realplayer-11.com.
You'll see a "Download This Video" windows pop up whenever you watching Youtube video. FLV file will save disk space.