I could ssh from my laptop to a server located behind a firewall and have access to the local network 192.168.x.x. There are some files on the this local network which I'd like to copy to my laptop. At the moment I do it like this.
1. ssh to a remote server
2. scp file from a computer on local network to the remote server.
3. scp file from the remote server to my laptop.

I have a feeling that I could set some kind of a tunnel or something of this kind which would allow me to copy files only once: from the lan directly to my laptop.

Any ideas what should I try?

You want to read http://souptonuts.sourceforge.net/sshtips.htm, the "Power of RemoteForward" part.