Hey @user-removed ,
Welcome to the Community!
There is currently no way to download a single song.
You can only download a whole playlist or the "songs section" for offline use by switching the "available offline" switch to on. Whenever you hit the "download" button in your phone, all of the songs added to your Library are going to be downloaded. But if you'd like to have just one separated song, you can add it to a playlist and listen to it there.
Hope this helps clear things up :)