For me it put anything in my download folder. It opens in the browser in a reasonable, non-resource-abusive fashion. I'm on Safari 6/Mountain Lion, so I'm not sure what version this happened.
OK, that's new in Mountain Lion apparently (Lion was the OS X that chased me away). I assumed it was the same as in previous versions since you mentioned Preview.app, but it appears that Preview.app isn't involved anymore when you open links in Safari; it just uses a built-in PDF viewer the same way Chrome does.
