To download a song to play offline, look for the downward-facing arrow next to songs, and in the top bar of albums and playlists. It looks like this ⬇.
You can also find an option to download a song in the (...) menu, as well as the download button on the website.
Once you download a song, it will be available under the “Offline Music” section of your account, which you can find in the bottom right corner with the picture of your avatar. This will let you listen to your music even when not connected to the internet.
Note: Not every song is available for download. That is up to the rights holders, not us.