If you enable iCloud, everything in Documents goes to iCloud.
Either opt out of iCloud if you don’t want it at all, or create another folder under your user folder to store documents that shouldn’t go to iCloud. Note that this folder must not be inside Documents!
Thanks - and if I create that folder can I direct the system to automatically place these sorts of things there?
Or alternatively, if I opt out of cloud on the MAC, does that also opt out on the iPhone and iPad too? These devices are all linked, even if I'd prefer them not to be haha!
Not sure what “these sorts of things” refers to, but all apps allow you to select the folder to save to and most if not all apps should remember the folder.
And yes, you can opt in out of iCloud Drive separately on each device.