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What I did was that I created one playlist with every song I got and downloaded that playlist locally. It's over 1400 songs now ;)
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Hello. Do you mean saved offline? You can turn on "Offline mode" to check which songs you have downloaded ;)
Any song that is saved for offline use (premium feature only) will have a green download arrow beside it - (this is for iOS)
I don't think there is a folder with all the downloaded music at this time. It would be nice if Spotify implement this feature, since yeah, it will be easier. :)