Apologies, I was on my phone and misremembered this. I’m not sure how, but in my mind there was a key I held down when I wanted to choose where to download a file to. But I can’t replicate that no matter what key combination I press!
However, there is a way to choose where to download a file (and name it) as a one-off with the mouse. Secondary click1 on a link to bring up the contextual menu, and choose Download Linked File As…. This might be quicker for the one time you’re downloading those 12 files, as you can stay in Safari instead of switching back and forth with the Finder.
1e.g. ctrl-click, two finger tap, right click