When you click the download button you will be presented with six options .obj, .fbx, .glb, .gltf, usd. & mtl. You can click on whichever you want and the model will be downloaded in the respective format. If you have coloured your model a .mtl file will be downloaded alongside the obj containing the colour information.
Once downloaded you can then import your created model into your preferred software and continue working on it.