I tried your suggestion and used tags but it seems I am doing something wrong. Although I have taged to downloads items, when I click on a tag, or when I click to a menu that shows all tags, my download items are not showing. Instead comon joomla artilce with the same tag, are shown. I 've read docs on JDownloads and Joomla Tags and it seems that it should working as is.
Do I have to enable some option somewhere to make it work?