Download large file in python with requests

Requests is a really nice library. I'd like to use it for downloading big files (>1GB). The problem is it's not possible to keep whole file in memory; I need to read it in chunks. And this is a problem with the following code:

import requests

def DownloadFile(url)
    local_filename = url.split('/')[-1]
    r = requests.get(url)
    f = open(local_filename, 'wb')
    for chunk in r.iter_content(chunk_size=512 * 1024): 
        if chunk: # filter out keep-alive new chunks
            f.write(chunk)
    f.close()
    return 

For some reason it doesn't work this way; it still loads the response into memory before it is saved to a file.