Well, rather than bookmarks, the logical form to me is a single HTML page with links to them. I don't game all that much, but that's what I'd use. It'd be trivial to whip up a script that generates an HTML for all the Flash files in a given directory, but the hard part is naming the links descriptively, and yet more concisely than the filenames themselves. This, AFAICS, requires user intervention, and it wouldn't make me any happier (even if someone else wrote it) to have a friendly dialog pop up and prompt me for the name I want to call a game.

For the grabbing and downloading, maybe a modification of the flashblock extension would be nice? Long-tap could bring up a menu with, among others, save as.