But then system would get bloated with additional invoices. We want to have only one financial invoice at the end.

Maybe instead of down payment there is a way of achieving this by using Deferred Revenues?

I think you have a choice of two workflows. You can create a downpayment invoice and record the payment against that, or you can reconcile the payment received against the sales invoice when you create it. Either will work.

But I'm doing this right now. The problem is that the actual invoice does not take into the account that order is already paid.

So your invoice still in open stage ? you can probably link the payment to invoice or link from reconcile view/

I want to generate actual invoice after the delivery is complete, so before I create an invoice I don't see a way of registering payment (automatically at least - I could do it by hand, but it is very tiresome).

And additionally when I generate actual invoice I would like it to show, that there is nothing more to pay because it was already covered at the pro-forma stage.

I've just now read about Deferred Revenues. But I'm not sure if it is the same thing because in my company we don't use such terminology.