I don't know what an EP client is but if you work in a command line environment you can use Mget or Mput for transferring a complete pds or some selected members by an specified pattern.
if you are using a graphical environment you must not have problem because you can select several members at a time.
make sure that you turned off the prompt before transferring a set of members.
Is there any way to FTP a set of members from Mainframe to local system? I am only able to do one member at a time by using EP client.