SoundCloud.com uses simple progressive HTTP .mp3 streams. You can copy the from the cache of your web-browser. Or you can find their URLs with freeware URL Snooper and download them with your browser or any download manager. And of course you can download / capture them with software like Replay Media Catcher 4.

If you want to capture songs while you play them on soundcloud.com, you can use RMC 4. Just go to Tools -> Settings -> HTTP Download tweaks and add the following
Alternatively you can capture such streams with freeware WebVideoCap.