Not everything McMaster sells has models to download, but for fasteners it covers all that I've experienced. Jeffrey is correct that you have to locate the part and then click on the CAD Drawing link with a crosshair center mark icon. That is, there is no site menu item for download area: it's ordered by catalog, then downloads are either available for that part # or not.

For threaded fasteners, I really prefer to download the Part so that I can suppress the thread cut feature. IIRC, it's usually a "Swept Cut" feature. It's nice that I haven't encountered any parts from there where subsequent features (in parent/children relation) rely on the thread being there. Otherwise, suppressing a parent will necessarily suppress its children. The part I find useful in assemblies at the scale I draw is a bolt with no thread shown as a cylinder with a hex head, a NPT (threaded pipe) socket expressed as a simple tapered smooth surface, etc. If drawing details with fasteners, you may want to unsuppress the features, which is doable with a part configuration in the part so you have a default and simple configs, or default and complex configs depending on what you'd normally use.

Either way, decide and establish a pattern that will be followed in your use for all fasteners as Anna pointed out very importantly: file naming, Description syntax, units, configuration names, names of references such as "Axis" vs "Axis1" or "Long Axis", even orientation on the origin & primary reference planes should all be consistent in your pattern. These things are important to make your task easier when using Replace Components (with mates) command in an assembly, sorting parts in a Bill of Materials, and much more. This is a difficult lesson to care about when starting out learning other basics, but once you learn more you may decide to rework all the bits you've gathered.

As a sidenote, beware of downloaded parts that are located far from their Origin. To me it shows that someone exported it from an assembly or a multibody part. Before saving or using any such part, I place the bodies onto the origin with constraints so it is more useful to describe relations in its use. I've never found McMaster to provide such boneheaded design parts, but the wider industrial market may choose to do things differently. (Example that comes to mind: Stahlin.com FRP electrical control panel enclosures.) Most often, if an item is modeled "on its back," that may be how it was manufactured, but not how it will be mounted to a wall or stand. It shows the manufacturer's design intent, not yours.

Another comprehensive online resource, if narrowly specific, is Swagelok compression tubing fittings. Their entire catalog is available in multiformat downloads, but again they like to place the origin on the end of a part, not say the central intersection of a Tee fitting.