That's the logical way of doing it, but apparently some sites don't want you to save it. e.g. I got the .mov file -- try saving this -- is it around 15 MB ??? I got it to be 10KB! :
http://starwars.apple.com/ep2/forbidden/img/ctp_a_320.mov
Anyway this seems to work for QT 5.02:
In Plug-in settings makes sure "Save movies in disk cache" is ticked then after download move (and rename) the file from the Cache folder to your own folder.
As K-M doesn't do extensions in the Cache folder (why not?) you have to add "mov" as the extension.
I've noticed that a plugtmp folder has been created in my gxxxxxxx .slt folder (along with chrome and cache). Dunno what this is for and if it's been done by Quicktime or K-M.