Onshape is a bit different from other CAD packages in that everything is stored on OnShape’s servers, so you don’t really “download” a library, you just connect with one. In my document "CAD for VEX Robotics (CAD for VEX Robotics (2).pdf (300.8 KB) there is a link to directions to access a library made by team 2114A. Every part is also available from vexrobotics.com in the form of a .step file, which is a universal cad interchange file which can be imported by any commercial CAD software.