First, make sure you have QuickTime set so movies are saved to disk cache with enough space -- look at QuickTime's System Preferences panel.
Wait until the entire file is downloaded. Then control-click on the file and hit Cut from the pop-up menu. Do this to a frame you don't mind losing; the first or the last, presumably. Close the movie's window or choose File: Quit. QuickTime will pop up a box asking if you want to save the changes you made. Naturally hit Yes. It will say then say it can't determine the location of the document, so hit Save As. Choose somewhere to save it, and save it as a self-contained movie. It will take a minute to "flatten" the movie and then ... you're done.
I tried this with the 720p streaming HD/H.264 trailers for "Serenity" and "Batman Begins," both available on Apple's HD Gallery page.
[robg adds: It's a shame the cache-save feature has been disabled. To use this hint, you'll need to get the movie open directly in QuickTime Player, not in your browser. Using your browser's View Source command, and/or its Activity window, find the URL for the actual movie. The URL will probably end in .mov, so try searching on that first. Copy this URL and then use File: Open URL in QuickTime Player and paste the URL. After the movie downloads, you can then use the cut/save trick ... and it worked fine for me in testing.]

