There are many websites that help you in downloading songs from Soundcloud.
The one which I used myself and is very easy to use is Soundflush.com
Follow the below steps for Google Chrome:
1. Play the song in Soundcloud which you want to download.
2. Copy the url.
3. Open Soundflush.com in a new tab.
4. Paste the url at the place provided and click DOWNLOAD.
5. On the next page, click on " Right Click to Download" and the download will start.
Follow the below steps for Mozilla FIrefox::
1-4: steps given above.
5. Right click on "Right Click to Download" option and select "Save Link As.." from the dropdown list.
6. Browse the location where you want to save the song and click OK.