Yep, really simple too...
1. Create new empty folders on your desktop for your sites
2. In DW, go to Site > New
3. Give the site a name and choose one of the newly created folders for your Local Root Folder
4. Add your FTP info for the site and save
5. Connect to your site via the Files window
6. Choose the Get (down arrow) command and click "yes" when asked "do you want to get the entire site"
7. Rinse and repeat for each site.