There are .NET classes to achieve this (I haven’t used any of them, but HttpWebRequest exists), but I think your bigger challenge will probably be to then get the WAV file imported as a Unity audio file.
Are you using your WWW object in a coroutine? I don’t think you need anything near a dedicated thread just to load some files asynchronously.
By the way, even when loading in another thread, you’ll need to use the unity thread to import the file into unity. So it’ll hang at that point without a coroutine.