How do I save files to my iMac hard drive instead of the iCloud?

The Desktop and Documents folder once were strictly local – but these days, can be set up either to be local, or to be synchronized to iCloud.

This article tells you how to check if the "synchronized to iCloud" feature is turned on, and if so, how to turn it off.

Add your Desktop and Documents files to iCloud Drive - Apple Support

With this turned off, you will still be able to store files in iCloud Drive, but iCloud Drive will be a completely separate place from your normal, local, file and folder storage locations.

P.S. – I assume that you are referring to a Mac that has an internal solid state drive (SSD) or hard drive (HDD), not to the Apple TV 4K set-top box mentioned in your tag line.

I doubt if the Apple TV 4K set-top box gives you much of a choice as to where apps running on that box store data – and some will have been designed to work with data in the cloud. (E.g., the Apple TV Photos app would allow you to display photos that your other devices had stored in iCloud Photos.)

Just put them in your documents folder, that should be local to your hard drive, as is the desktop.