How can I prevent Keynote from storing files in iCloud? I am running Sierra, but I am sure the problem is as bad, or worse, in High Sierra. 

I don't want to store files in iCloud, unless I decide to. But now, when I go to save a new file in Keynote, I don't even get a dialogue box: it is automatically put into iCloud, and I have to manually save it elsewhere.  I have thought about turning iCloud off, but I don't mind having system prefs saving stuff there - just not my voluminous workfiles that I share via DropBox instead.
How do I stop this happening?
Go to System Preferences > iCloud > iCloud Drive and click on the Options... button.

In the Documents section, uncheck the Keynote.app (and any other app you don't want) to stop it from saving in iCloud: