Usually only applications that download with its dependencies can be saved without to install (from the package manager).On a side note, is there a way to DL packages but not install them, and then use some pet2sfs thing to turn a whole Dir into a sfs?
For the other applications just install them and then use gnewpet by jpeps to recreate the installed .pet (application - should work also on installed .deb files).
To turn a complete directory into a single sfs use LazY PaDS (combines .pet and .deb files from a directory into a single sfs).
Both are in the Forums Utilities Section.