Since Apple doesn’t allow MP3 downloads with an iPad/iPhone unless you are purchasing from iTunes, the only method at present is to download our audio files onto a regular Mac or Windows PC in iTunes. You can then sync your iPad or iPhone to your iTunes or copy the file over while connected to your Mac or Windows PC.
There have been apps which allowed you to download. However, Apple very quickly blocks them. If you use an app make sure that your download does appear in the your iTunes library.