You really can do either of the three in your question.
If you download to your computer you use space on your hard drive to store the download. Where as if you download to a CD/CDRW or DVDRW disk you save space on your hard drive.
And if you can find the game in a box, get it, it will save you download time.
It's really a question of 6 of one kind, half a dozen of another. It's just personal preference.
If something gets your goat, it just proves you have a goat to get.