I finally figured out how to grab subtitles and convert from XML
I thought I'd post it here in case it could help someone else.
First off - download the program with something like VSO Downloader
Next - open up the webpage's source file. Scroll around until you find the code that actually calls the player and subtitles. Quickest way - do a text search for the word "subtitle"!
Look for the path to the XML file. Here's an example:
"English subtitles:/sami/E_A511468661.xml,Welsh subtitles:/sami/C_A511468661.xml"
The initial "/" means that the file is up a level from the web page you're on.
If I'm starting at:" http://beta.s4c.co.uk/clic/e_level2.shtml?series_id=511459031"
Then the path for the Welsh subs is:
"http://beta.s4c.co.uk/sami/C_A511468661.xml"
Don't forget the "http://" at the beginning. Chrome (at least) doesn't assume it for .xml files.
Once you get the XML page loaded in your browser, just save it to the same folder you put the video file in. You can change the name so something sensible at this point.
To convert the XML to something useful, use the open source and very useful "Subtitle Edit":
http://www.nikse.dk/SubtitleEdit/ I used the SubRib (.srt) setting.
Assuming the subtitles are in the same folder as the original video, when you open the video with VLC, the subs will be there if you choose to display them but not if you don't!