...you will not be able to receive updates, as Apple has changed some licensing things. Short Version, I can't get hold of the neccesary license right now. So you can either download and install the greasemonkey extension. After doing that, you can click here to install the script for safari.
You are now done. Head over to soundcloud.com and enjoy downloading songs without copy/pasting the link anymore.
If you are running the latest version of safari, then you will get the above popup each and every time you click the download button. Unfortunately you cannot have safari remember the choice you make like in other browsers. Apple thinks, that this makes browsing the web safer...
When using the browser extension with SCD 2.7.0 or above, you have an option which will automatically quit SCD when the download completes. You can read more about this here...
Open Safaris preferences using the menu "Safari > Preferences...". Click on the "Extensions" tab and select "SCD" from the menu on the left-hand side. Now simply click the "uninstall" button on the right-hand side of the window. Done!