My Macbook Air is limited on hard drive resources right now.
Can I download iTunes U courses onto a USB flash drive（formatted to Mac OS Extended）instead of downloading courses on my own Mac?
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I personally haven't seen an easy setting which will let you choose a destination while the course is being downloaded.
You still have two options:
In iTunes go to Preferences and then select Advanced tab on top. There is an option to change the iTunes Media folder location. You can connect a USB drive and temporarily select that drive for downloads.
If you have enough space on your hard drive you can wait until the download completes and then copy the downloaded files to any location you want.
iTunes downloads are stored in the following directory usually. (unless one has selected some other location)
There are separate folders under this for downloaded Mobile Applications (
.ipa) and iTunes U content also.