The music in your library is already on your computer.
But besides that: Open the finder window you want the files to be copied to. Open iTunes and select the files you want to copy. Click on one of the highlighted songs and drag them a little bit to the side without releasing the mouse button (a little red sign with the number of songs appears). Press CMD-Tab to change the application to the finder, move the songs to the prepared finder window and release the mouse button now. The files are copied over to the finder window. 🙂