Is there anyway to preserve the playlist structure when DLing from the empeg?

Micheal is correct, Jemplode allows you to do this. If I recall correctly, you don't even need to do filename parameters with backslashes to make it happen. You only need to set filename parameters for the end-result MP3s. You can just download a playlist (by right-clicking on the playlist and hitting download) and it'll preserve that playlist's substructure as it downloads.