is there a way to download my whole wishlist at once?

No, there used to be a 'buy all' button at the top of the wish list screen but for some reason that has been removed from the current version of iTunes, so you can only buy items individually by clicking on their prices. If you would like a the 'buy all' option brought back then you could try leaving feedback for Apple : http://www.apple.com/feedback/itunesapp.html

What King Penguin said. There's a reason I tell my daughter to add items to the wish list and not buy every song she want's every time she wants one. I don't need 20-30 individual charges on my statement which I then have to add to my checking account register or add them up and make one entry, but I still have to reconcile every ****** purchase on my statement. Who thought this was a good idea?