Keep Finder On-Top While Dragging Links From Safari URL Bar
You can just drag the link to the Finder icon in the Dock, and hold for a couple of seconds. That’s show you all the available windows of Finder, then you can select the one you want to drag the web-loc to. As @Phoenix mentioned in comment, you can aways ⌘+Tab to switch between open apps. Another way would be to use Mission Control, the shortcut of which is F4, or ⌃+↑ (configurable in Keyboard Pref Pane).

It should be expected behaviour to switch to the app you clicked on so Finder has to lose focus, for Safari to respond.