Have you done this?
I use an ftp client to transfer files and directories to and from websites all the time. It's a pretty common tool of the trade. Transfer rates vary, but downloading a few directories and files usually takes only a few seconds to go from remote server location to copies on your local machine.
ok...are you saying you can download a WP site from the control panel into your WAMP folder on your desktop?
You can download all of the files and folders. Backing up the database is a very different, yet related topic.
Database Backup Instructions
If you have ftp access to a site, or if you have access to the file manager in the hosts control panel, you can simply download anything you like from the site to your desktop. It's the same procedure used to make regular backups of the files on any website.
If what you're thinking is more along the lines of keeping an active sync of the files from live website directly into the /www directory in WampServer, then no. I've never done that, and personally don't think it an effort that really serves any productive purpose, and only makes a very simple process unnecessarily convoluted.
It really is as simple as downloading whatever theme you want to work on from the remote site to a safe location in your documents folder, or to your desktop, and then just copy and paste it into the local WordPress themes directory using the shortcut to the /www directory.