Download a downloader (download manager) app like aDownloder. Long press on the Video URL in browser and select "Share" from the context menu. Then select share with aDownloader (or any other downloader app that you install). This should start downloading using the download manager app.
This may not always work as some sites don't let you download videos. Give it a try.
As of December 2012, I don't see any way to get something like "Save link as" option in Firefox for Android. However, in some cases clicking on a video link automatically starts downloading the video, but in most cases it starts playing them. Best you can do is to request Firefox to add this feature. Meanwhile, you can try a download utility as I mentioned earlier or use an alternative browser that has this feature for your video downloads.