Do you mean you want it automatically cached and Mathematica then know it and upon consequent calls it would go to a local copy without internet for example? Otherwise you could just Put, Export, etc…
When you use a ResourceObject, it is automatically cached locally in a dedicated directory in your $DefaultLocalBase. The first time you retrieve the content of the resource object - data in this case - it is also cached locally.
Keep in mind this cache is on-disk. There is not automatically a kernel-level cache, but you can use Once[ResourceData[...]] to effectively cache in the kernel session.
If you want more control (formatting, file location, etc.) then of course you can use standard Export operations directly on the data.