I ended up using a function that creates the folders if needed. I copied what Patrick had here.

/**
 * Download external file.
 *
 * param string $url
  *    Full url to file to download
 * param string $uri
  *    Drupal uri of where to save file public://archive/test.pdf
 * param int $save_mode
 *    File save mode from drupal core, ex FILE_EXISTS_REPLACE
 */
function xcms_import_download_external_file($url, $uri, $save_mode = FILE_EXISTS_RENAME, $manage_file = TRUE) {

  $url_info = parse_url($url);
  $url_path_info = pathinfo($url_info['path']);

  // This helps with filenames with spaces
  $url = $url_info['scheme'] . '://' . $url_info['host']  . $url_path_info['dirname'] .'/'. rawurlencode($url_path_info['basename']);

  // Need to remove the filename from the uri
  $uri_target = file_uri_target($uri);
  $uri_scheme = file_uri_scheme($uri);
  $uri_path_info = pathinfo($uri_target);
  $directory = file_stream_wrapper_uri_normalize($uri_scheme . "://" . $uri_path_info['dirname']);

  if (file_prepare_directory($directory, FILE_CREATE_DIRECTORY)) {
    $drupal_result = drupal_http_request($url);
    if (!empty($drupal_result->data)) {
      $path = file_stream_wrapper_uri_normalize($uri);
      if ($manage_file) {
        $new_file = file_save_data($drupal_result->data, $path, $save_mode);
      }
      else {
        return file_unmanaged_save_data($drupal_result->data, $path, $save_mode);
      }
    }
    else {
      drupal_set_message("Error downloading file, no data recieved for " . $url);
      return FALSE;
    }

    $new_file->display = 1;
    return (array)$new_file;
  }
  else {
    return FALSE;
  }
}

I ended up using a function that creates the folders if needed. I copied what Patrick had here.

/**
 * Download external file.
 *
 * @param string $url       Full url to file to download.
 * @param string $uri       Drupal uri of where to save file
 *                          public://archive/test.pdf.
 * @param int $save_mode    File save mode from drupal core 
 *                          Ex: FILE_EXISTS_REPLACE.
 *
 * @return mixed $new_file  The file object.
 */
function xcms_import_download_external_file($url, $uri, $save_mode = FILE_EXISTS_RENAME, $manage_file = TRUE) {

  $url_info = parse_url($url);
  $url_path_info = pathinfo($url_info['path']);

  // This helps with filenames with spaces
  $url = $url_info['scheme'] . '://' . $url_info['host']  . $url_path_info['dirname'] .'/'. rawurlencode($url_path_info['basename']);

  // Need to remove the filename from the uri
  $uri_target = file_uri_target($uri);
  $uri_scheme = file_uri_scheme($uri);
  $uri_path_info = pathinfo($uri_target);
  $directory = file_stream_wrapper_uri_normalize($uri_scheme . "://" . $uri_path_info['dirname']);

  if (file_prepare_directory($directory, FILE_CREATE_DIRECTORY)) {
    $drupal_result = drupal_http_request($url);
    if (!empty($drupal_result->data)) {
      $path = file_stream_wrapper_uri_normalize($uri);
      if ($manage_file) {
        $new_file = file_save_data($drupal_result->data, $path, $save_mode);
      }
      else {
        return file_unmanaged_save_data($drupal_result->data, $path, $save_mode);
      }
    }
    else {
      drupal_set_message("Error downloading file, no data recieved for " . $url);
      return FALSE;
    }

    $new_file->display = 1;
    return (array)$new_file;
  }
  else {
    return FALSE;
  }
}