How do I download all iCloud Drive files to external hard drive?
You should turn off Optimise iCloud storage in System Preferences-> iCloud -> iCloud Drive options, before you try to copy files as per the other answer. Since you have a lot of storage(paid version), trying to copy partially downloaded files can be a mess. 

Other way can be to use https://privacy.apple.com. It lets you download selected information associated with your account. I don't know which would be faster. I suggest doing both.