If you download a message, it is stored within the app. However, android users using the latest version of the app can "Export" downloaded messages to external storage devices. Please note that only messages that you've purchased (i.e. you own) can be exported, and the export option will only become available after the message has been successfully downloaded.
If you do not want to download a product, you can stream the video or audio product simply by tapping on the “watch” button for videos, or the “play” button for audios.