Thanks Tony. I downloaded the updated archive and this time it worked.
Regarding the failure with lua, this was the error:
lua.c:80:31: fatal error: readline/readline.h: No such file or directory
It seems that readline should be added to the list of requirements. Indeed I installed libreadline6-dev (Debian package) and then lua was built successfully.
I found another issue: "make download-gcc" doesn't download the packages that are built for the native target. It only downloads pkgconf, binutils, mingw-w64 and gcc, that is, those that gcc explicitly depends on (and itself). It misses gmp, isl, cloog, cmake, mpfr, mpc and yasm (pkgconf is built both native and cross, so it's there). So if I "make download-gcc" and then try to build offline, I fail.
I suppose gmp and the others were removed as explicit dependencies because they must not be cross-built anymore. But that broke the "make download-*" thing.