Moving photos from iCloud to WD MyCould device rename "thumbs*.*?

Just so we're on the same page you want to store just the original, unedited, full size image files from your Photos library to your WD external HD, right?

If that's what you want too do do the following:

1 - go to the Photos window and select all of the photos in the library , i,e, Command + A key stroke.

2 - use the File ➙ Export Unmodified Original for X,XXX Items...option:

3 - in the Export window select these settings:

The XMP file is optional and will only be useful if you use a 3rd party app that can use that file when viewing the photos.

4 - select the WD external HD as the destination and export.

WARNING: This will give you copies of your original, unedited files. You will lose any organizational efforts you've put into the library, i.e. albums, projects, etc. You will lose any metadata you've added to the file, i.e. title, description, keywords unless you view the exporting image files with an application that can utilize the XMP file.

The Export will give you the current version of the file, i.e. the edited version if it's been edited. If the image has been cropped for printing or other reasons you won't get the full sized photo when you export.

Depending on what JPEG quality you select you'll get a file size that will be different than the original. That will have to be your choice. Experiment with a couple of edited photos to see if you can live with your edited copy and won't need to ever go back to the original version.