I use the program that Mr. Logan mentioned earlier, guru's Yahoo Group Downloader - http://www.groupfetch.com/ . It works really well, actually. It can download all your groups files, photos, and messages (however, the msg grabber is pure trash compared to pgo.)
I did not need to create seperate group folders by hand, the tool creates them automatically. It remembers the files you've already grabbed, and it caches your groups so that it doesn't need to rescan each time you load it (only have it rescan if you add a group.)
It's half the cost of the product offered at http://www.rsbr.de/ . Even though it looks like it hasn't been changed for 3 years, the author still updates it to work around yahoo's obsession with changing their site around, and he seems like a fairly nice guy.
I have 140 groups, so grabbing the files manually would be a fools errand. I found that if you set it to wait 30 seconds between files, you can avoid the yahoo bandwidth lock almost completely.
I am not affiliated with guru or his company in any way, I just thought this might be of some help to those looking for this feature.
I hope this is kosher, don't want to get in the doodoo for advertising some other guys software =/
tommy