Mac file download behaviour
Just right click the link.



If you have a pdf viewer plugin enabled (which it sounds like you do), you have the option to *Open Link in..." it or Save Link As...

When you choose Save Link As... you even have the opportunity to change your download location.



The way that I am doing is through Full Acrobat Reader, not through a 3rd party plugin or Preview.  In fact, PDF plugin is disabled:



When I click on the PDF link, it opens in a new browser Tab for viewing, but now I have the opportunity to select "Download" if I want to save it (It's not saved to my Downloads folder automatically.)