The first time they download from you they will have to enter their email address. The beat will then be emailed to them. After that they won't have to give it again. They will also be sent an opt in email, asking if they want to join your list.
You can also download email addresses in a CSV file by going to Dash > Beats > Free Downloads and clicking the download button on the right. So you will gain their email address even if they don't choose to opt in, but it won't be automatically added to your list