I use Apple Photos over 4 devices with iCloud storage. I want to have an original quality photo on a local removable drive. How do I accomplish this?

File -> Export -> Export unmodified original

This will get you an exact copy of the image you imported.

If you don't have "Optimize Mac Storage" set with the iCloud Library then Yer_Man's recommendations will do the trick. But If you have "Optimize Mac Storage" enabled in Photos/iCloud settings you'll need to do the following;

1 - create a new library on the external drive where you will want to store the photos.

2 - set it to the System Photo Library and enable iCloud Library.

3 - DO NOT enable "Optimize Mac Storage"

4 - leave Photos open and in the background until the iCloud Library and completed it's download. Depending on the size of the library it could take up to a week or more. Leave the Mac on over night, do not sleep the Mac but just use the Screen Saver.

5 - when the download is completed disable iCloud Library and set the other library as the System Photo Library.