Assuming the person sharing with you is in the same org. They are adding this ability so you can from others in other 365 orgs, but I don't think it's released yet and was still early when talked about.
If they are in your tenant thou, you can go to the folder shared folder and should have a sync icon on the toolbar if you have OneDrive client installed. Then you can save to the synced folder via Save as.
You should also be able to take the folder URL once your in onedrive, so you have the direct URL, and paste that into the Save as file location and it should technically use webdav or whatever the magic protocol is that lets you use a URL to save, and it should show that onedrive location and allow you to save from office client there, but you have to make sure you get the direct URL form the browser, the sharing link won't work.