Downloads can only be enabled for individual tracks, and cannot be applied to playlists. However, you can add a buy button to your playlist, so your fans can download or purchase all the tracks within the playlist at once from another site.

You can edit or add a Buy link to let your fans purchase the playlist from another site (such as iTunes, BandCamp, etc.) through your playlist’s edit page in the ‘Metadata’ tab.

You can change the wording of the Buy button so it doesn't say 'Buy'. This feature is available for Artist Pro. You'll be able to add a total of 22 characters to the "Link title".  This is a great option if you wish to direct your listeners to a special link, i.e. a donation link.

Once you click 'Save', a "Buy" button will then be rendered below the waveform.  

Please note: 

If you receive reports that some users cannot download your content, they must be signed into their SoundCloud account first before the download option is enabled.

Anonymous downloads are not permitted.