You can export photos from the Headshots page inside the Dashboard.
To download all Headshots from a list, simply navigate to the upper right hand corner, click the three ellipses, and then export photos from the modal.
To download a selection of Headshots, multi-select any photos you want, Click the three ellipses in the upper right hand corner and then click Export. You will then be asked to select a filename pattern, and the desired image format.