qBittorrent has exactly the option you’re looking for, I believe it’s called “incomplete download path” in the settings, letting you store incomplete downloads at a temporary path and moving them to their regular location when the download finishes. Aside from the download speed improvement, this will also lead to less fragmentation on your HDD (which might be part of the reason why it is so slow when downloading directly to it). Pre-allocating space could have the same effect, but I would recommend only using one of these two solutions at once (pre-allocating space on your SSD would only waste space)
It depends what you’re optimising for. If you want a single (relatively small) download to be available on your HDD as fast as possible, then your current setup might be better (optimising for lower latency). However, if you want to be maxing out your internet speeds at all time and increase your HDD speeds by making the copy sequential (optimising for throughput), then the setup with the catch drive will be better. Keep in mind that a HDD’s sequential write performance is significantly higher than its random write performance, so copying a large file in one go will be faster than copying a whole bunch of random chunks in a random order (like torrents do). You can check the difference for yourself by doing a disk benchmark and comparing the sequential vs random writes of your drive.