How do I delete files from iCloud but NOT from my Mac?

I bought a new Mac and have discovered that it is saving files to iCloud. I am now getting messages telling me that iCloud is full and I must buy more space. I did not want the files to be saved to iCloud and did not tell the Mac to do that. It appears to have been a default setting. I want to remove them from iCloud and save them on my Mac. That should be simple but it is not.

I have downloaded all of the files from iCloud and saved them to my Mac. But when I turn off the iCloud sync it tells me it will delete the files from my Mac and keep them on iCloud - the exact opposite of what I want it to do.

It seems such a ridiculous way to run things. Can anyone tell me how to delete them from iCloud and keep them on my Mac please?