Well for fourth gen only, if you have the type of unsecured internet connection like they have at libraries, schools and hotels where you don't need a password, you can download it right to your DSI using the pokesav site. You just change the settings on your DSI so that the GTS goes to the pokesav vs the official GTS.
If like me you have a secured connection.
For fifth gen, the pokesav GTS is blocked, so I use pokesav to generate the .PKM file, then I use pokegen to convert the .pkm to a action replay code
and finaly I use action replay to get the pokemon on my game.
You can also use pokegen to change your pokemon save file to include the pokes if you have a flashcart, but I don't have a flash cart, so I have never tried that.
I want to try that. Maybe I should have asked for one for father's day.