Hey don't listen to the idiot above, you can set Azureus to allocate filespace as you receive the file(s).

So it will, by default, set the files to 0 bytes until pieces are downloaded.

To set this in Azureus, all you need to do is go to View - > Configuration - > Files (don't expand it) and check "Enable incremental file creation"

Make sure "allocate and zero new files on creation" is NOT checked.