iCloud problem on Macbook Pro

Both my iCloud storage and my internal storage are full. I have a 1TB external hard drive that I have backed my mac on. The problem is none of my files in the icloud drive (that are in the cloud) have downloaded to the external hard drive. I would like the files in the cloud on there as I frequently have to search through a large folder of audio files in the cloud and constantly re-download them because they automatically delete and go in to the cloud. I tried copying the folder of all of these audio files (around 6,000 files) into the hard drive but it was stuck on 0 bytes copied forever. Was this because a large amount of the files are in the cloud and I don't have the space on my computer to download them? Do they need to be downloaded to my computer first before I can transfer them? Any help would be appreciated.