You can of course download any level using the download button on the right or by clicking the link on top of any level page like this one: https://projectrik.com/levels/hupo-z
If you're playing online, any levels will download automatically.
Any level no matter where you download it from is distributed through a global CDN (content delivery network) so in almost every case you should be able to get very good download speeds.
You can also download a level manually ingame if you want, by using the DL command. Write e.g. /dl stealth-blue and it will automatically download in the background. You can do this at pretty much any time.