I am not sure if I should worry about loosing my photos, as I pay for my iCloud storage.

You should archive photos in Mac Archive or make copies of the information you store in iCloud - Apple Support

Another way is .

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

As long as you don't run out of storage you should be fine!

What is iCloud? - Apple Support