Question about saving movie files.

Without waiting for the movie to load and digging into the cache, is there any way to save movies from websites like milkandcheese or AMfilms directly? (right click style) I typed out and copied the names of the files, and kept deleting parts at random then pasting that in to try and find the file location manually. Didn't work. Any sort of program out there that can locate the file on the server so I can just download normally? (I really hate using the browser to play movie files.)

The only method I'm aware of is getting the link to the file out of the HTML, then using wget with --referer to leech it.

There are probably easier ways to do it.