For iCloud Photos, check the "Download Originals" item in Photos settings. Once the status indicates everything is fully downloaded, then disable iCloud Photos in Photos settings. When you disable iCloud Photos, if anything isn't Downloaded it will confirm before proceeding.
For iCloud Drive, uncheck "Optimize Mac Storage" in System Settings > Apple ID (your name) > iCloud. Wait for all downloads to complete, then disable iCloud Drive. When you disable it, it will finish syncing before downloading.
For Notes, Contacts, Calendars, Reminders, Safari, you should be given the option to keep your data when you turn it off. I recommend turning these off and then confirming you still have your data on your computer.
For News & Stocks, I don't believe you'll lose anything but there's also not much to lose there either way.
In summary, disable iCloud Photos & iCloud Drive storage optimization, then go feature by feature and turn them off, then verify you still have all relevant data. Don't delete anything from iCloud directly until you're fully confident it's local.
Note that iCloud Backups cannot be converted to local backups. Instead, just take a new device backup with Finder.
If you encounter any points where you're unable to keep them local, comment here and I'll investigate/revise.