Hi @Jerico26 and welcome to the Community and Spotify Premium! :)
In order to download songs you will need to have the ones you want saved to a playlist. You can then download that playlist to your devices. There is a helpful guide here that outlines how to get started with that.
If you are having trouble getting it to work, there is also a troubleshooting page here with some more tips.
I hope one of these helps get you going! Have a great day! :)