Either by a USB on the go cable and plug the thumb drive into that or they make thumb drives that will plug into your phone and PC both.
The actual steps I am not sure as that would depend on the "cloud" service you are using.
Most of them will make you download to the phone then transfer afterwards. Although it appears that when logged in via a PC you can go to My Device and view the content there... You may be able to save to a PC then transfer to thumb drive
