Assuming that you know what the final data size will be, and you want to stick to Foundation classes/Objective-C, you could create an instance of NSMutableData that can be shared across these operations. When an operation completes its chunk, it should lock some shared mutex, write its completed download to the appropriate place in the NSMutableData object and then unlock the shared mutex.
Once all the operations are joined, you can simply write the mutable data to a file using the writeToFile: convenience methods on the NSData class. If you're more proficient in C/BSD, you could also create the file as an mmap and simply write to it. Since all the data are going to discrete seconds in the mapping, you can write without locking a mutex. Once all the operations are joined, you can remove the mmap and close the file.