In order to copy really big files or full directory coping through command line is good idea.
It will be fast and easy. In your mac you can find source directory easily but how to find destination directory?

Go to root and check the volume directory. /Volumes
Now its time to check where is your destination directory and where you want to keep your files.
In my case /Volumes/Seagate Backup Plus Drive/my_download

cp -R 1_j_download/ /Volumes/"Seagate Backup Plus Drive"/my_download 

There are 2 points
A. cp has -R which is used to copy entire directory.
B. “Seagate Backup Plus Drive” directory in my case has quote because of space. If you don’t use quote probably it will not work! However you can name your drive without space.

It will take few minutes to copy really big chunks of data… Still it depends on size.