What would be a good thing:
If Magento had a central upload-directory to where you could upload files via ftp and then have a dropdown-list in the products-view to select the relevant file(s) for that product. Unlike the already-available URL-option, the files should then be pulled automatically to the right place to have them sorted correctly.
BTW: Does anybody know, how to retain the filename of the original file, instead of having them renamed automatically to file.* , file_1.* and so on after Magento has uploaded them with its inbuilt uploader-feature? That is annoying for customers when they purchase music-files that don’t have a hint which one is which and they have to rename them all.