Download Function in Package Could be Multi-Threaded

[jjacobson95]

Currently the download function is quite slow. This has become more of an issue now that there are ~100 data files to download and it takes a significant amount of time to download them all. It would be nice to multi-thread this function and download the files in parallel.

[sgosline]

Need to look into how this would happen. Are there packages available to facilitate this? How about error checking/file fidelity?

[ymahlich]

We should also consider to do checksum verification of the downloaded files (see also here: https://help.figshare.com/article/how-to-use-the-figshare-api#basic-coding)