One of the best sources of free historical ASX data is yahoo finance. However, doing this manually would be time consuming, and prone to errors. There's a spreadsheet you can use to download these for you automatically: ASX Historical Data.
How does the spreadsheet work?
The spreadsheet gets the ASX symbols from yahoo finance. The symbols downloaded make up the components of the All Ordinaries index. Thats aproximately 500 ASX symbols, making up 95% of the market turnover. Users can select the start and end dates they wish to download. The spreadsheet then downloads the data files, and reformats them into metastock format. Metastock format is the world's most commonly accepted data format for historical stock data.
Here is a sample of the data that can be downloaded.
