Gyrene,
I understand where he is coming from and that is why I will say a big +1 to this idea.
Not so sure how to make it work with things other than Skins or missions, but think about a scenario or even a mission. Leader says "We will lift in xxx skin" but you don't have it. Do you agree that it would be nice, instead of having to leave the game, download skin then log back in (Impossible in the case of a scenario where the arena locks), you simply go to hanger, click on the skin and click download?
The plus side to this over what we have now with the auto downloading is this would allow you to instantly pick and choose the skin you want. Auto download simply downlaods them all, so if you are wanting a TBM skin, you have to wait for a looooong time to get it. This option would rectify this issue.
They do not even need to be mutually exclusive. Have Auto downloads as well, but when you want a particular skin you can just download it immediatly.
As I mentioned, not sure how this would work with other things, but it currently works for missions in Custom Arenas so it could work for skins.