How can I drag them, where do I find them?
Many people have already told you. If you click the button to keep a copy, they are inside the iCloud Drive (Archive) folder in your Home folder. If you chose Remove from Mac, you will find them in the Desktop and Documents folders inside of iCloud Drive in the Sidebar.
Have you disabled Desktop & Documents in iCloud Drive? Which option did you choose?
I was with Apple support, he was the one that said upload speed was slow and can take all day and night and not use the internet while doing it? Was he wrong?
No idea what you were discussing with him. If it was about moving files out of iCloud Drive, then internet connection speed has little to do with it except as to files that are only stored in iCloud Drive. As I already stated, files sync'd with Desktop & Documents in iCloud Drive are not removed from your Mac at all unless you have turned on Optimize Storage, but only a limited number of files will have been removed from your Mac.
There are also app-specific folders on iCloud Drive independent of Desktop & Documents--those you will have to download from iCloud Drive. If you still have iCloud Drive enabled, open the iCloud Drive folder in the Sidebar and move those folders to your Mac somewhere inside your Home folder--stay away from the Desktop & Documents folders until you disable that part.