PandoraJam lets you listen to Pandora whenever and wherever you want. You can stream audio to an Airport Express connected to your hi-fi system, or record music for later playback. Recordings are iPod friendly, tagged, and look great in iTunes. Want to keep a record of the songs you listen to? PandoraJam can submit tracks to Last.fm, so your friends can see what you've been checking out.
basically it downloads every song you listen to on pandora and automatcially puts it in your itunes.
i'm pretty sure it has a setting that keeps it from downloading tracks that are already in your itunes.
here is a link to the download:
when it asks you to register just push demo. you will have to restart it ever once in a while but it saves you 15 bones.
I'm not sure but i think there is similar for windows called Pandora Jar.
sorry if this is all a repost.