How do Data Scientists integrate Predictive Modeling with SQL?
There is no need to download data in CSV format, in most cases it is actually bad practice. Consider cases where data size > 1GB and is updated daily. This would add a considerable overhead and is not easy to automate.

Instead you can take a look at various R packages that exist to fetch data from your SQL database. Using RODBC, SQLite, sqldf or other available libraries you can import data to R, run queries, create tables, update tables and pretty much anything else you will need.