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You can copy the files to a thumb drive, using your operating system's "copy" command.

Whether or not your TV can play them directly, that depends on the TV's support for MKV files. You may have to convert them to MP4 files for some older TVs.

It generally works OK. Watch out for file system compatibility when you format the thumbdrive: FAT32 can't handle files bigger than 4 gigs. exFAT and NTFS formatted drives don't have that limit, but not all TVs and media players can read them. If you're traveling, you can use an OTG cable to copy downloaded stuff from a smartphone or tablet to a thumbdrive, but there again, you'll have to watch out for the file system.