If it's in the Google Music cloud and you want to use the stock Samsung music app I use an app called Cloud Music Importer. Here it is:

https://play.google.com/store/apps/details?id=com.sapien.music.importer&hl=en

If you want to keep in on the sd card and play it in the Google Music app you just longpress an album, artist, song or playlist and tap make available offline or pin, whatever they call it these days.