There are a couple of options. Using the imdb dataset  as an example.
As an arrow file:
from datasets import load_dataset
im = load_dataset('imdb')
imdb.save_to_disk(dataset_dict_path='./imdb')

Will save your files in the imdb directory.
Or convert to pandas as then save as csv / json
from datasets import load_dataset
im = load_dataset('imdb')
im.set_format('pandas')
df = im['train'][:]
df.to_csv('imdb_train.csv')