in fact, its a really good idea to do it that way.
its beneficial because, u can download files with download managers at better speed without interruption.
secondly, it requires less space. i mean to say, suppose an game of 700 MB, it requires downloading space of 700 MB, unpacking space of say 1200 MB, and installation space of say 800 MB.
if u download setup and copy to ur SD Card, the space for unpacking is also used from SD Card, and only setup space is utilised from Phone memory, so its very less chance of getting low space error.