If you're looking to get your world data off of the server and use it in singleplayer or make a modification that you can only make while the world is offline, you can follow these steps to get your save file.
1. Open the File Manager
2. Navigate to /terraria/Worlds/
3. Right click your .wld
file and click Download. You will not need to download any of the .bak
files
4. The file will now download and you can load it into another server or singleplayer