Different artists make their music files available in different formats on SoundCloud.
Some artists will include a download option. You’ll find the download button beloe the waveform of these Soundcloud files.
Some artists will include a link to an external website where you can either download for free or after a subscription/payment.
Most of the time it’s an innocent link but I’m skeptical of such because you never really know what’s waiting for you on the other side.
For this and for Sound Cloud files you cannot download, you can make use of third party tools. Just make sure you are not infringing on someone’s rights or breaking the law with this.
SoundCloud Downloader is a nifty online tool in this regard. All you need to do is capture the sound cloud url for the specific track you want to download, paste it in the tool and download it in the mp3 format.
The only downside is that it cannot download a playlist. Also private tracks cannot be downloaded.