How to transfer all photos from OneDrive into a hard drive?

Note that this isn't about the OneDrive files, it's the OneDrive photos section

The OneDrive photos section in the web view is actually a view of items that are in the OneDrive files section.  Or some of them.

In the Photo view, in the upper-right corner of the page, the left most icon is the "Show photos from" icon (an upside-down triangle made up of horizontal lines).  Click on it and you can use that icon to show photos from all folders in My files or only show photos from the pictures folder.

If you want to know where a particular photo is located, hover the cursor over the photo and then hover the cursor over the 'info' icon (the i within a circle icon in the lower right corner of the photo you are hovering over).  You'll see something like this...

The text at the bottom shows the file for this photo is in a folder called Pictures under My Files.

In my own OneDrive, most of my photos are in MyFiles > Pictures or MyFiles > Skydrive camera roll but your situation may well be different.

To back up the pictures (and other files) in those two folders, you would go to the My Files view, then click to the left of the Pictures and Skydrive camera roll folders to select both of them and then click on Download (at the top of the page) to download the contents of those two folders into a zip file in your Downloads folder (assuming you have the space to hold that zip file of course).  At least that's what you'd do on a Windows system.  I'm not sure how Download works on a Mac.

Once you've downloaded the zip file, you can move it to the hard drive you want to store the files on - either as a zip file or by unzipping the file's contents onto that hard disk. 

This probably won't get every picture in your Photos view.  If "Show photos from" is set to All OneDrive then the Photos view shows every picture file anywhere in My Files - so, for example, it will show Album Art jpg files for ripped CDs in your Music folder; icon files in Visual Studio projects; etc.

Once you've downloaded your main picture folder (or folders) you can delete them from OneDrive and then re-visit the Photos view to see where else photos you care about are stored and then repeat the process.  Not very elegant - time-consuming, but not impossible to do.