Do you mean the response message from the On-demand Extraction request?
There are many ways in python and you can find it on the internet.
You can just open the file and write the data from the response raw data like below sample codes where r is a response.
with open(fileName, 'wb') as fd: fd.write(r.raw.read())
You may also read the below article, it a good article explains how to optimize your codes to download the data. It should be able to apply to your case as well.