THis is a very easy thing to do yourself, I've done it for his quantum mechanics videos but I found it got too difficult, I suppose I'de be able for them in a month.
Anyway, I'll write you a quick tutorial so that you can do it for yourself.
Instruments;
1. A Blank disk
2. Playlist for Susskind's General Relativity
http://www.youtube.com/view_play_list?p=6C8BDEEBA6BDC78D
3. Easy YouTube Video Downloader 2.1
https://addons.mozilla.org/en-US/firefox/addon/10137
Note: This is for firefox, if you use IE or opera or something, do a google search on downloading a video from youtube, there are hundreds of ways to download videos, type: "download video for youtube", or something.
Free ashampoo Studio2010 for burning to a disk
http://www.mydigitallife.info/2009/10/05/download-ashampoo-burning-studio-2010-9-10-with-free-full-version-serial-license-key/
Note: This is a free and legal program. Follow the tutorial I've included to the letter so that you do it right. I've done it and can guarantee that it works.
Method (in the madness)
1. Install the firfox addon.
2. Download the video, as an .mp4, if it doesn't work for some reason get the .flv version, if you use an online downloader then use the .avi, as you're installing Ashampoo.
NOTE: To watch .flv videos on a pc you'll more than likely need vlc player, this is free - do a google search.
3. Register Ashampoo in the way the tutorial described.
4. Burn the Lectures to the disk, if you have any problems with ashampoo find an online help file, it's pretty easy but you might need a few disks of or a rewriteable one so that you are sure which aspect of ashampoo you should use.
NOTE: You can use most of this tutorial to put the lectures on our phone or ipod, it's worth googling to find out what works best for your setup, i think 3gp is the file format for your phone, it depends.
(: Hope this helps :)