Watch and download youtube video simultanously So I can watch a youtube video, great. But once I go out of range of wifi I can't play it.

So the other option, is, I use a program to download the video. But I can't play it before it's downloaded.

So is there like a program that you see the video, but after it has been downloaded, it's not discarded but permanently saved ?
There are apps like TubeMate or EasyTube that let you download Youtube videos to your phone internal storage or to the SD card in order to allow you to see these videos whenever you want wherever you want. 

Maybe this is what you are looking for.