Maybe this pref still works.

Set the pref browser.helperApps.deleteTempFileOnExit to true on the about:config page.

To open the about:config page, type about:config in the location (address) bar and press the "Enter" key, just like you type the url of a website to open a website.
If you see a warning then you can confirm that you want to access that page.

• Use the Filter bar at to top of the about:config page to locate a preference more easily.
• Preferences that have been modified show as bold (user set).
• Preferences can be reset to the default or changed via the right-click context menu.

Thanks for your suggestion, cor-el! The pref still sort of works (as described in this earlier discussion of my same complaint ), but it leads to some unstable behavior in Mac OS X.

• This option auto-deletes the files in the Downloads folder which were opened with a helper app, upon closing Firefox. (as advertised)
• Files in the folder that got there using "save" instead of "open" are kept (good)
• Even if the helper app is closed, the temp file remains until firefox is closed (not ideal)
• Moving any of the temp files from the Download folder prior to their deletion causes the Finder to freeze (definitely bad)

Now, moving the temp files is not something you would do on purpose, but when they're mixed in with all the stuff you downloaded and intend to save, it's bound to happen - especially if you run Firefox around the clock. It happened to me, and I got stuck with an eternal progress bar in the finder and had to force reboot.

So, I won't be keeping this setting. It might be usable in conjunction with another pref that would separate the temp files from the explicitly saved downloads, as is done on Linux. I'm not sure if such a pref exists, though.