HI stefano rigazio,

Yes, It is recommended that you download the launcher package first is because with the launcher installer, it will automatically download the component package from our site so you no need worry about hit time out issues with PHP.

Component - This package should only be downloaded when you would like to install the extension manually.
After downloading the package, upload the files to: /administrator/components/com_easyblog/setup/package

Full Package - This package includes both the Launcher and Archive.
After downloading the package, upload the installer with Joomla's installer.

Hope this help.