It's possible to do on the desktop version under Preferences, but I haven't found a way on iOS. There are two options I've found. 1. Bring up the item to download, select the three dots at the end of the search bar, tap Share Page With..., and select Copy. Open the Files app, long press on the screen until the menu pops up and select Paste. 2. Start the same as above, but instead of Copy, select either Mail or Text and send it to yourself. Either way is clumsy, but they work. Hopefully, this function will the added to iOS in the future. You can send this as feedback on iOS by taping the three horizontal bars, then Settings and Send Feedback (near the bottom).