Yes. Documents that you have created belong fully to you. You can choose to store them online on OneDrive or locally on your PC or Mac.
If you cancel your subscription:
If you cancel your subscription or if it expires, you can still access and download all your files by signing in to OneDrive directly using the Microsoft account you used to set up Office 365. You do lose the additional storage that comes with your subscription, so you must save your files elsewhere or buy more OneDrive storage if your OneDrive account exceeds the free storage quota.