You can handle it either way. One safety item you may consider is a simple Thank you page with "you'll get the download via email." That way you're able to confirm they gave you a good email address. They get the email with the download link then go to the download page - which is separate from the thank you page.

If you follow that method you just have to trust they won't pass it on. Generally I remind them on my copyright page in the ebook that they paid good money for this item. If they'd like to tell their friends about it, I recommend they join the affiliate program so they can profit from the referral. 

On the other hand, you can use an expiring link. In the shopping cart system I use, I can upload the file to the product description. The system takes care of creating the download link that is only good for 24 hours. The difficulty comes when you have a PDF plus a few audios - that method doesn't work as easily.

There is no perfect solution, especially if you're distributing a PDF (which I recommend.) You can use proprietary software that creates an .exe file, but it tends to increase the number of customer service calls you get. Plus it's not compatible with Mac's. So I recommend you use PDFs and go with the method that you prefer as a customer.