I have been using ApplicationDeployment.CurrentDeployment.DataDirectory
to store content downloaded by the client at runtime which is expected to be there every
It depends on the data you are saving.
You are currently saving to the Data Directory which is fine. What you need to be aware of is that each version of the application has its own Data Directory. When you update ClickOnce copies all the data from the previous version to the new version when the application is started up. This gives you a hook to migrate any of the data from one version to the next. This is good for in memory databases like Sql Lite or SQL CE.
One thing that I cam across is that when you have a large amount of data (4 gig) if you store it in the Data Directory this data will be copied from the old version to the new version. This will slow down the start up time after an upgrade. If you have a large amount of data or you don't want to worry about migrating data you can either store the data in the users local folder providing you have full trust or you can use isolated storage if you have a partial trust.
Isolated Storage
Local User Application Data