I normally use ftp and mget. Depends on where you want to transfer the source code to. If you use the ftp method, then you have your source in ascii text format so you can transfer it to just about anywhere.
Alternatively, you can save your source into save files (or one big save file) and ftp the save file (use binary mode) – but then you can only put your source back on another machine with a similar OS version (the format of the save files has changed recently between different releases).
There are other methods, but most of them involve transferring one member at a time.
Of course once you have your files on the PC (whether they’re in ascii text format or as save files) you can burn them to CD, DVD, etc.
Have a lot?
Write a cl to read through the outfile created by DSPFD *Mbrlist
and copy each member to a directory on the IFS using CPYTOPCD
Then you can copy the directory to the CD