How can I save my live photos?

I have 30,000 photos and videos on my phone and I want to get them off. I've barely ever used the Photos app on my MacBook but I pay for iCloud storage and I can see that all of my photos and videos are shown there. I read that I can download everything from that app (I would do so onto an external hard drive) and then delete everything without losing it (obviously, if it’s saved somewhere else). But I’m worried about my live photos!

I did a little test by dragging a live photo from the Photos app onto my desktop and then right clicking it, and choosing open with > Photos. It saved it to the desktop as a jpeg file and therefore, did not “play” when I opened it in Photos. How can I save my live photos to another place, to later be opened (with Photos or VLC player or anything else) and viewed? Is there any way to do this that allows me to save them?