iTunes already has all of the iPhone firmware versions downloaded to ~/Library/iTunes/iPhone Software Updates

It would be nice if iNdependence checked there first before going straight to the internet to download a new copy.

It does look there. Have a look at line 419 in this file:

http://code.google.com/p/independence/source/browse/tags/1.4/iNdependence/AppController.mm

That is the exact line of code which checks to see if the 1.1.2 firmware file exists before downloading it. Either you do not have the 1.1.2 firmware file (iPhone1,1_1.1.2_3B48b_Restore.ipsw), or you are using an old version of iNdependence which has a bug.