Transferring Podcasts to USB device

My swim headphones are not bluetooth.

Using OS Sequioa 15.1 on a Macbook air

How do I put podcasts onto my computer then transfer via USB to my headphones (connected via usb to computer)?

I can download onto my computer via the Mac Podcast app, but then can only play them on my computer - I can't see how to transfer them.

I cannot find where the podcast files are saved