Downloading your favourites is easy, all you have to do is tap the three dots next to any track and click on 'Download'. You can find the same option available in the three dots menu option next to any album, playlists, or songs in your queue.
Quick Tip: you can also set up a Quick Action to download any song in one tap. You'll be able to do this from the JioSaavn app settings > Quick Actions > Download.