On one of the Set Options pages there is a box to include files. It contains
stuff like "+*.jpg". You need to add "+*.pdf" to include PDF files. 

On another options screen there is an option you need to check which is like
"Download non-HTML files related to link, like .zip". Check that box.

Now run a test with a single URL in it like: <http://site.com/my.pdf>

And make sure the PDF is downloaded.