Use scp (secure copy) to copy data between different servers, from local or remote hosts.
Syntax for secure copying is easy, you just need to provide the source and destination of the file/folder.
Depending where you are copying to and from, you might need to specify the host name.
Copy from remote server to local is like this:
$ scp username@host:foobar.txt local/directory
$ scp firstname.lastname@example.org:/root/htdocs/file.txt /myfolder/projects/www
Same with remote-to-remote or local to remote.