When you use a URL sniffer on your computer, you can't be detected, because URL sniffers analyze traffic coming to your computer. They shouldn't change any traffic or send any feedback.

However there is a chance that you will be detected when downloading streaming media. To prevent this you can use software that captures packets coming to streaming media players.

For example, you can use
WM Recorder to capture packets coming to Windows Media Player and Real Player. And you can use Jaksta to capture packets coming to flash player (please note that Jaksta can download content as well).

Some streaming content is cached and you can copy it from the cache folder of your web-browser.