Small but incredibly useful guide from wiak, posted on http://superuser.com/questions/40281/how-do-i-get-an-entire-directory-in-sftp
well this little guide should help, mirror a remote server to local folder with lftp
lftp sftp://user:[email protected]:22 -e 'mirror --verbose --use-pget-n=8 -c /remote/path /local/path'