I would suggest always downloading these sort of things via wifi, as they can be big and thus use up a lot of data allowance.
Things like Woman's Hour can be quite long as it is the whole show, not just a particular segment. So you may want to download to a device which will easily move through the file... such as using Windows Media Player which has a position slider, whereas on a mobile phone you may only get the option to play, pause, stop, depending on the features on the phone. Depends on the show as well, I can't find details of when Judy appears on the show, so you probably have no choice but to listen to all of it.
Whilst the BBC does encode things at different rates, not all things will be, especially radio. Looks to me that I can stream it at either low: 20MB or high:54MB. The podcast is 35MB, so looks like they may have encoded it at 3 different rates. However without certain software you can't find that sort of thing out easily and even when you can, you may not get any choice which data stream your device downloads.
Woman's Hour, 27 May, is 35MB as podcast (mp3 format) - Link to webpage
I would expect iPlayer on a desktop computer would use the higher version where as iPlayer Radio app (the mobile app for iOS and Android) may use the lower rate, though it could well use the same as iPlayer web/desktop.
Really though that is all getting a bit complex, not something you really need to worry about if you have WiFi and broadband connection. Sound files are not huge, unlike video.
I would select based on whichever device you plan to listen on - if listening via computer, then use the iplayer web interface, or the woman's hour webpage player.
If you want to listen via your mobile at a later time... then download the podcast (mp3).