Updating Android SDK via Eclipse interface requires that your internet connection be stable. If in the middle of the download your connection is interrupted, you have to start over.
Yet, you can actually use download manager (which cache files and resume download from where you left off) when downloading SDK. Here's how:

Inspect the log window when you start the Android SDK Manager (it's the paper icon next to the tiny red square button). In the log, you can find the XML containing information about your download. Inspect the XML, and download whatever part of the SDK that you need.