II would advise using TCP if possible. If the problem is that you don't know which devices will be available, you can use UDP in a separate loop to detect other devices in the network. Once a device is detected, it should open a connection to the server and start the file transfer.
If you still want to use your idea, you will need to manage the data transfer and the file writing in each client. Then, if a client misses a packet (e.g. it was lost, the client connected after the transfer started, etc.), it will need to request it from the server.
As for how to actually do it, as Andre mentioned, you can use the file functions to read and write binary files (represented as strings, since that's what you'll use in the UDP functions). Note that in each of the client, you should probably initialize the file to its final size using null chars and then go over it and fill it as the data comes in.
P.S. I'm not a network expert by far, but I'm not sure this will actually reduce the traffic, as a UDP multicast might put more strain on the network than a directed TCP connection.
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