Encrypt-then-MAC when encrypting data in multiple blocks?
You can do either. Though make sure you tighten up how you do the first scheme.

In the first case you are going to have multiple tags, 1 for each chunk. In the latter, you will have a single tag. If you are downloading files that are approximately 1MB, I think #2 makes sense. If you are downloading files that are 1GB or 1TB, maybe #1 makes the most sense, as you can stop the download if one of the chunks is bad.