You cannot download any content from That Which Is in the usual sense.
That Which Is is integrated into the MSIA iOS and Android app. One of the features that comes with this app is the ability for you to save videos to an offline playlist, so that you can watch/listen to them later when not connected to the internet. This feature will take up memory on your device ( so it is a download in that sense) but you won’t be able to access it out side of the app or transfer it to another device.