I haven't retested this for a few months, so hopefully it still works...

Changing the download location on Firefox for Android requires a visit to the about:config preferences editor. You have to change two different settings to make this work.

First, you need to know the folder path you want to use. An app like ES File Explorer File Manager will be helpful if you do not have a file manager.

(1) Open a new tab to about:config (type about:config in the Awesomebar and tap the go arrow or tap Enter).

You may want to bookmark this for easier future access.

(2) In the search box, type down and pause while Firefox filters the list

(3) Scroll down to browser.download.folderList and tap the preference. Up and down controls should appear. Tap up to change the value from 1 to 2.

(3) Scroll back up and tap the large "+" button to the left of the search box to add a new setting

(A) The name of the preference should be browser.download.dir (this stores the last used directory)

(B) On the right side, tap Boolean and in the popup change it to String

(C) The value depends on the folder you want. For example:

/sdcard/FxDown 

(D) Then click Create (if you are too slow, it may clear and you might have to start again)

If you switch back to your other tab and download something, it should go to the new folder.

Any luck?

This did not work for me. I am using a Samasung Galaxy Tab S running 5.0.2 (Lollipop). I highly suspect this is because of the new sd card permissions. When I followed the instructions to point to a directory on the internal memory, it worked as expected.

I suspect some code change will be necessary for this to work.