It's relatively simple to move the Mail Downloads folder to another directory, and then provide a symbolic link so that Mail.app can access it. Quit Mail if it's running, then open Terminal. Stay in your home folder (where Terminal starts you off), and enter this command:
$ mv Library/Mail\ Downloads Downloads/; cd Library; ln -s ../Downloads/Mail\ Downloads
Or alternatively, to make Mail downloads appear directly in the Downloads folder:
$ mV Library/Mail\ Downloads/* Downloads/; mv Library/Mail\ Downloads/.* Downloads/; cd Library; rmdir Mail\ Downloads; ln -s ../Downloads Mail\ Downloads
