They'll have hard copies of it, especially once GOTY hits shelves after they come out with atleast 2-3 more DLC's. Can't have all DLC on a CD. (Look back at Oblivion, 2 DLC+ and yet still 4 more or less others to buy seperate).
But no if you get a new console or a new harddrive you can still redeem the download through your Xbox Live account. Giving you remember the information of the account to get it back. Since remember? Once you redeem a download on Live on your account you can repeat that download as much as you need to.

Gorram... I should probably mention that in Gamestop you can buy the DLC for most high end games (Call of Duty, Halo, Fallout, etc) on cards in-store. You just buy the card and it has the DLC code on it so you can use that code on the card to automatically download and redeem your content.