Page by page seems to be the only method these days;
http://www.chess.com/forum/view/help-support/download-all-my-games
It seems a bit odd to have removed this feature, doing it page by page will probably use more resources than downloading all at once - as a professional software develloper I feel that removing useful features is not a good idea for little gain.
In any case once they are all downloaded it is possible to keep up-to-date by downloading games as they are completed, so for me at least it is not a huge loss, just a bit strange... 
I'm a diamond member, and a friend asked me to download his entire history for him. But he's played many thousands of games, and so far I can't find anything more efficient than doing "select all" page by page. Does anybody know if there's a way to request an instant download of his entire history without going through them all by hand like this? Thanks!