how do I save iCloud photos to an external hard drive?

Photos can’t be transferred directly from iCloud to an external hard drive for that you need to set up iCloud photo library see the article Set up and use iCloud Photos - Apple 

And its preferences Change preferences in Photos on Mac - Apple  open finder > Go > home > your user name > pictures either drag and drop Photos Library.photoslibrary to an external hard drive , the second method is right click on Photos Library.photoslibrary and click on show package contents in the upcoming column , you can also drag and drop complete masters folder to an external hard drive that is connected .

Also as per the article Back up the library in Photos on Mac - Apple 

Manually copy your library to an external storage device: Drag the Photos library (by default in the Pictures folder on your Mac) to your storage device to create a copy.See this article also

Photos library - Move your Library to an external storage device

Are you using iCloud Photos on your MacBook Air? and do you want to save the photos from iCloud as individual photo files, or do you want to have a backup of the complete Photos Library with all folders, albums, recognised faces, etc?

You can backup the complete Photos library either with Time Machine or by copying the Photos Library to an external volume. tygb already gave you the links on how to copy the library Photos library - Move your Library to an external storage device and to include the library in your time Machine backup: Back up the library in Photos on Mac - Apple 

Both will work well, as long as you have not enabled the "optimise Mac Storage" option Photos > Preferences > iCloud. With "Optimise Mac Storage" the Photos Library on your Mac is not a complete download of the files in iCloud, because some of the high resolution originals may have been removed and the backup would be incomplete.

If you need to use "optimise Mac Storage" because of lack of storage on your Mac, you can save the image files on an external volume by selecting the files in Photos and using "File > Export > Export unmodified originals".

To save the edited versions as well, use "File > Export > ... photos" and set the export settings to export at a high quality and in the original image size.

Without a photos library on your Mac, you can save the iCloud Photos by downloading the photos from your iCloud web page at www.icloud.com. Select several photos at once and click the download button in the toolbar of the iCloud window. The Download button has a hidden menu, where you need to select the quality of the download. Hover the pointer over the lower right corner of the download button to reveal the "v" to open this menu: