Select the OneDrive (white or blue cloud) icon in the Windows notification area, and then in the activity center, select More > Settings > Auto Save > Update folders. Now deselect the folder(s) you want to make local and then choose to stop protection (no more cloud cloning/syncing).
Every folder you deselect will be created for you on your local disk in the default location (and more*, read on). The process will provide shortcuts in these folders and their subfolders* called “Where are my files” which is a link to the corresponding OneDrive cloud location. *It also means your new folders may have a bunch of empty subfolders (save for the aforementioned shortcut). Your new folder’s structure is a fileless clone of the corresponding previous folder’s structure which still exists on OneDrive. Each (sub)folder only contains the cloud shortcut and any subfolders, but nothing more. In the newly created local folder, prune away any subfolders you don’t want and delete any of the shortcuts you have no need for.