I've just been asked the very same question (we're on Moodle 3.0) - did you ever find a solution for this?
I know that you can bulk download selected files in Moodle 3.1, so perhaps this will be easier when we upgrade in a few months, but I really don't see a straight forward way of doing it at the moment.
Any suggestions for managing this in Moodle 3.0 would be appreciated!
Thanks.