You have two options:

You can use the wget command-line utility like so:

wget -rl 10

Replace the 10 with the number of levels you would like to recurse down into.

Or, you can use SiteSucker. A GUI application that recursively downloads websites. You can also specify how far down to recurse with SiteSucker.


DeepVacuum

GUI for wget, $15.

cocoawget

(free)