You can't (yet) download .hex files from the Arduino environment, but it's something I'd like to support in the future. In the meantime, you can use a command like:
uisp -dpart=atmega8 -dprog=stk500 -dserial=/dev/cu.usbserial-A1000fKl -dspeed=19200 --upload if=/Users/dmellis/Documents/Arduino/led_blink/applet/led_blink.hex
You'll have to change the value of -dserial to correspond to the serial port assigned to your Arduino board and that of if= to point to the .hex file.
Or you can try downloading the Makefile from: http://www.arduino.cc/playground/Learning/CommandLine
Then change the TARGET and PORT variables and type "make program" from the command line, in the same directory as the .hex file and the Makefile.
In both cases you'll need to have uisp installed (it comes with Arduino or you can download it separately) and in your path.