What is the best way to download all of the WSDL files exposed by a WCF service?

Meanwhile, disco.exe is considered obsolete technology by Microsoft.

You can use svcutil.exe /t:metadata to achieve the same in the WCF age. Additional benefits are support for additional features, eg WS-Policy.

Save schema from URL:

svcutil /t:metadata http://host/pathtomy.svc?wsdl

Save schema from assembly, eg in automated build:

svcutil /t:metadata c:\wcfweb\pathToWcfServiceAssembly.dll

It looks like Microsoft provide Disco.exe for doing this.

If you own the service, another interesting option you could explore is using Christian Weyer's FlatWSDL behavior, which will force WCF to generate everything in a single WSDL document, which should make it a lot easier for you to distribute it.