You can run
wget in the background like so:
wget link & disown
wget process will continue to run in the background, even if you close the terminal or log out of the remote machine.
Another way would be to use
byobu. This is very similar to the method xx4h proposed (byobu even uses screen sometimes), but I consider it easier.
Install byobu. This will depend on what Linux distribution you are running on your Pi. If it's Raspbian you should be able to use:
sudo apt-get install byobu
I'm not familiar with Arch, but if you are running Arch I'm guessing you should know how to install it.
wget process and press F6. You can now log out of the remote machine. When you come back, running
byobu again will connect to the session you started earlier with your