It might go to a separate folder of your music library on your computer, I'm not sure. I know the Zune Pass DRM stuff does. Otherwise I'm not sure that there is a way.
Originally Posted by CJ Thunder
Actually, I did just have a thought. If you add your NAS as an additional folder in Zune it might still save stuff you download to your music library. You would then just have to manually copy them over. I think you can also set your Music library folder in Windows to point at a folder under your Skydrive folder. Hopefully that will get you in the right direction.