In Word, click File > Options > Save. Select the option to "Save to Computer by default" and specify a "Default local file location."
Note that any existing documents that have been saved online, or synchronized with OneDrive, must be moved out of the local folder which is being synchronized with OneDrive.
To prevent OneDrive from synchronizing any of your local files, unlink OneDrive. See
How to cancel or stop sync in OneDrive - Microsoft Support. In particular, see the section "Stop syncing everything" (screen shot below).