I'm not actually sure how to do that on Spotify. But for albums I like, especially lesser-known artists making music of various kinds (I tend to lean heavily towards electronic music), I generally just buy them on Bandcamp and put a copy on my NAS.

If you pay for Spotify, you can download songs/albums/playlists in the app if you want them offline for a flight or somewhere else you won't have access to internet. It's a single tap. (And you save songs you like with a single tap too -- and even if they lose rights, which is extremely rare but happens, you still have a record of liking it.)

Obviously that's not giving you a local .mp3 file, but that's because it's streaming, not buying.