HT4901 Do I have to manually save every single document and all data to my Mac if I opt out of iCloud?

What a nightmare!
I upgraded my Mac OS X yesterday to Mountain Lion and with it came the choice to opt into iCloud. I NEVER usually go for this sort of thing as technology and I are not very close... but something in me said 'go on, get with the times' but I should have instinctively stayed right away from it because now that I want to turn it off it is giving me that awful message saying 'all documents and data will be deleted from this Mac' *** Apple... seriously?
Could you not have the option to 'save all documents and data to this Mac before deleting iCloud'? How easy would that make life...
As I'm not very tech savvy... PLEASE tell me how to go about ensuring all my documents and data (whatever the latter refers to) are safely saved on my Mac HD as they have always been... so that I can confidently get off the cloud!
I back-up often and use Dropbox for a few things and should have never gone down the path of iCloud (they should warn you of the consequences before you sign up).
Thanks in advance.

Hi pvonk and thanks so much for taking the time to reply and for your intormation. Apologies if my post was confusing, I thought my intro was clear, i.e. the reason why I opted in and the reason for the post, i.e. the warning message that comes up. So if I may explain further... I don't want to use iCloud and should never have opted in, especially now I see how hard it is to get out.
Your instructions are clear but what worries me is that just the action of unchecking each switch in the iCloud preferences generates the warning I got (which prompted this post), i.e. it tells me if I do this the information / files / etc will be deleted from my Mac. I do not see the option you write about where I am asked to copy my contacts, etc saved in iCloud to my local drive.
However - are you saying that before the step of iCloud deleting my files from my Mac there is another step where iCloud actually asks you if you want to save the files to your hard drive?
I am a complete novice and your kindness and patience is appreciated. All I've done so far is accepted the invitation to join iCloud that generated when I upgraded to Mountain Lion OS X. I haven't manually saved anything to iCloud but I'm assuming it doesn't work that way. I'm assuming my files automatically got sent to 'the cloud' when I accepted the invitation. Am I correct in assuming this? I can still see all the files on my hard drive so does that mean I still have copies here? I really don't understand anything about iCloud and obvsioulsy should have just stayed right away from it. Unfortunately I now find myself in this situation and need to navigate safely out of it. I have so many important files on my Mac as I use it for my creative enterprise. ALL my photos and ALL my design files are stored here (and yes I back up regularly using My Passport).
I'm just really wary of accepting the prompt when I switch off each preference in iCloud because I don't want to delete all that important information from my Mac.
Have I confused you more or made my situation clearer? Hopefully the latter

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