sftp default client which ships as part of ssh package doesn't handle recursive copy. Found a really good command line tool lftp . Lftp - Sophisticated file transfer program can handle sftp protocol too. This is being shipped as part SUNWlftpu package.
To connect to host.
lftp:~> mirror <remote dir> <local dir>
The above command will mirror the remote directory to local directory. For more information for lftp http://tutorials.papamike.ca/pub/lftp.html