The use of "<<EOF" is pointless.
Unless one want to type more than needed.
The single "cat > DoNotNameAnyScriptLikeAnExistingCommand" does the trick. (If finished give it the EOF with ^d meaning <ctrl><d> )
outFile="-O $1" #prepares the option -O
shift # shifts away the URL
curl "$*" "$outFile"
with this script you can use it like intended "NOTwget URL" or use all the other options curl takes as well.