It does take some time but I've found it well worth while, particularly when there's more than one member of the family playing catch-up. Also very useful with weekly serials, like "Lark Rise to Candleford". Every so often I'd find myself wanting to check back with a previous week's episode to see who had said what and to whom only to remember too late that the one week review period had expired just before the current episode went out. Logical really, but annoying all the same. Downloading put paid to that problem.
In passing - there's the same facility available on ITV (not sure about the download, though) but I find it stops and starts like this much more often than the BBC iplayer does.