Well, that is very simple and similar to Request your Twitter archive. Click the your small account icon (top right) and select the menu item “Settings and privacy“. On the next click on the menu item called “Your Twitter data“. Now it might be possible that you need to add your account password. If done, scroll to the end of the page and click on “Retrieving data” . The button becomes inactive.
Now you have to wait – usually a few minutes – for the confirmation email from Twitter. Follow the download button. Back on the Twitter page you can now download your data ZIP file.
In some cases – usually if you have a whole bunch of 200K of tweets or more – it could take a while until you receive the Twitter email containing the download link. As Twitter mentioned: Please be patient.