First, make sure you have the package management tool pyrus installed and working. You can get that from the pyrus website, but a better option would get the all inclusive one built by Ralph Schindler:
pyrus channel-discover zfcampus.org/packages pyrus install zf2/Zend_Http-devel
pyrus channel-discover zfcampus.org/packages
pyrus install zf2/Zend_Di-devel
pyrus install zf2/Zend_Component-devel
If you use the pyrus tool to download the phars, you will be able to use the -devel short flag to get the latest possible release.
Otherwise, browse the directory to download appropriate packages.
pyrus download zf2/Zend_Component-devel
Using the above mentioned package naming, you can download the phar files to your current working directory with this command: