Sync Between cloud document to my mac in assets.adobe.com

You can go to https://assets.adobe.com/cloud-documents, select the boxes to the left of your XD files, and in the upper right of the browser, click on Download. After you've downloaded them, then you can click on Delete which is just to the left of Download.

When you are working on an XD file, you can go to File > Save as Local Document... instead of File > Save As... which by default saves it as a cloud document.