Can you change the Steam download location?

You can create a new steam library folder to accomplish what you want. Try the steps here:

Go to Steam -> Setting -> Downloads -> STEAM LIBRARY FOLDERS

Add Library Folder. On the drop down menu, select which drive you want. Select which subfolder you want to put the new SteamLibrary in. For me its E:/Games/SteamLibrary.

Next time you download a game, you have the option of saving it in the new spot.

So you are asking if you can move the steam/steamapps/downloading folder to a different drive, for speed reasons.

If there is no built-in facility for this in Steam, you can use mklink.

However, this is probably not a good idea, since steam downloads updates to this folder and then moves the files (unless the update is some for of delta patcher).

Moving files on a single volume is usually a simple edit of the file system which can be achieved nearly instantly, but moving from one drive or volume to another involves actually copying the data.