It does in fact download 500 blocks at a time, then the counter counts one at a time as it verifies the blocks. The advantage of letting bitcoin download and verify the blocks is that you do not have to trust the person you're downloading them from. If you downloaded the blk*.dat files from some site, you would have to trust that site, since you would be accepting the data without verifying it yourself. If you're copying blk*.dat from another computer of yours, that should be fine. How long is the initial block download taking for you?
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