How can I download photos from My Photo Stream to Photos on my local machine

In the new Photos app (1.0.1) in OS X Yosemite (10.10.4), I have My Photo Stream enabled. In the old iPhotos, when this was enabled, the app would copy the pics to my local library so that I could delete the photos from my phone. This also alleviated the need for me to plug my phone into my machine to sync the photos. My Photo Stream does not seem to function this way. When I delete photos from My Photo Stream, they are also deleted from my local machine. Is this expected behavior?