First, create a text file (eg links.txt) containing all links you want to download. For example
https://dumps.wikimedia.org/enwiki/20210820/enwiki-20210820-geo_tags.sql.gz
https://dumps.wikimedia.org/enwiki/20210820/enwiki-20210820-page_props.sql.gz
https://dumps.wikimedia.org/enwiki/20210820/enwiki-20210820-page.sql.gz
https://dumps.wikimedia.org/