Regarding downloading their songs, here are a few options:

To get high-quality audio files for offline use, you can use these official services: One Direction - Official Playlist - Spotify

Purchasing individual albums allows you to download them as high-quality MP3s or FLAC files, which you can then manually group into your own "all songs" zip folder.

How to emulate the "zip file" experience: Buy each album. Your computer will download them as a folder. Drag that folder into iTunes or your phone. Voila—you have built your own legal zip file.

: Offers the full catalog for digital purchase, including Deluxe and Ultimate editions.