Here’s a screenshot from Shimanke.com show the Podcast Downloading function (check out all of their screenshots).
Here’s a nice little tidbit about Podcast’s and AT&T from theiphoneblog.com
In response to Chad’s fears of overwhelming AT&T’s fragile 3G network (aka “rabbit ears”), it looks like cell downloads will be limited to podcasts under 10MB, the same limitation currently imposed on App Store purchases over 3G. Both audio and video podcasts will be available for download, however, and on WiFi there’s no limitation.