Start by opening the app and heading to the "home" or "discover" tabs in the bottom. Next you can click on a session and then note that there will be a little down arrow to the right. If you click on that you'll be able to download the session!
To delete downloads
Start by going to the "profile" tab in the bottom right of the app and then going to the top and clicking on the black cog in the top right.
Next click on Manage Downloads:
Next, you can swipe the session to the left to delete it!