There are a couple workflows you can use to add sample downloads to your DAW.
First, you can drag samples directly from the Splice app into your DAW.
You can also find the local folder by clicking on the Show Folder icon:
Once you have found the location you can add the "Sounds" folder into your DAW's browser. This process differs between different DAWs, please refer to DAW's manual to find out how to add custom folder's to your DAW's browser.
Adding the Splice folder in Ableton: