You beg, borrow and try not to steal. Downloading BBG data into a database can be prohibitively expensive if you do it the correct way. Now, if you are a licensed terminal user you can, in principle, download all the data you want to your own workstation and analyze it there. YieldBook, Lehman Live (sorry, Lehman dead, Barclays Live), morganmarkets, CitiVelocity, etc. are also common sources, but all require permissioning, usually via your sales coverage.