SoundScrape makes it super easy to download artists from SoundCloud - even those which don't have download links! It automatically creates ID3 tags as well, which is handy.
First, install it:
pip install soundscrape
Then, just call soundscrape and the name of the artist you want to scrape:
soundscrape rabbit-i-am
And you're done! Hooray! Files are stored as mp3s in the format Artist name - Track title.mp3.
You can also use the -n argument to only download a certain number of songs.
soundscrape rabbit-i-am -n 3
Soundscrape can also download sets, but you have to include the full URL of the set you want to download:
soundscrape https://soundcloud.com/vsauce-awesome/sets/awesome
Soundscrape can also download tracks from SoundCloud groups with the -g argument.
soundscrape chopped-and-screwed -gn 2
There's probably a lot more that can be done to improve this. Please file issues if you find them!