Your photo data follows your photos, even if you transfer them to an external hard drive or other media. I have transferred many of my photos to an external hard drive, and location and other data are still intact when I have subsequently imported them into the Photo app on my Mac.
You can download your Photos and transfer them to your hard drive like this:
Go to https://icloud.com, sign in with the Apple ID where your photos are stored. Go to Photo and download all your photos to your PC or Mac - and transfer them to your SanDisk hard drive, simply drag n drop.
If you SanDisk is a USB key, then with some accessories you can connect it directly to your iPhone, see here:
Connect external storage devices to iPhone - Apple Support