You could do it one volume at a time. The videos on volume one only come to around 876MB and if you include the pitch videos and all of the audio, it's only 1.2GB altogether. Most smartphones will have anywhere from 8GB upwards of space, so if you've got even 1GB of space left on your storage then you'd be able to transfer the videos over to your phone and watch them with whatever media player you normally use.
For media players, just go to your app store and search for a decent one; you'll almost certainly find a good free one if you don't already have one on your phone.
If you're not sure how to transfer the files, there's a few options. Phil's suggestion is one, but then you'd need to use you data allowance to stream them or download via wi-fi. Alternatively you could just transfer via USB or use a seperate SD card.
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For media players, just go to your app store and search for a decent one; you'll almost certainly find a good free one if you don't already have one on your phone.
If you're not sure how to transfer the files, there's a few options. Phil's suggestion is one, but then you'd need to use you data allowance to stream them or download via wi-fi. Alternatively you could just transfer via USB or use a seperate SD card.