By default, Safari's Download Manager saves files in the "Downloads" section of the Files app, but you can easily customize the storage location by following these steps.
- Launch the Settings app.
- Scroll down and tap Safari.
- Tap Downloads.
- Choose to store downloaded files in iCloud Drive, On My iPhone, or in another location of your choosing (Other...).
The Downloads screen in Safari settings also includes an option to Remove Download List Items automatically After one day (the default), Upon successful download, or Manually.