You can export reference metadata and PDFs, but this won't include the notes you've made, these only exist in the cloud when using Sciwheel.
To export your references, select the references in the Sciwheel site (use the checkboxes, or the master checkbox to select all references in a project or your entire account)
and then click the copy/move/export button:
And then select Export As... and choose the output format (RIS, BibTeX or CSV).
To download PDFs, use the master checkbox (1) to select all references (if you're in the All references section you can select everything in your library, or you can export per project. Then simply click the copy/move/export button (2) and select Download PDFs:
This will download a .zip file containing all of the selected PDF files. Please note that PDFs are limited to 100 files/100MB per download, so you may need to export in batches.