SSH easily copy file to local system

Master connection

It's easiest if you plan in advance.
Open a master connection the first time. For subsequent connections, route slave connections through the existing master connection. In your ~/.ssh/config, set up connection sharing to happen automatically:
ControlMaster auto
ControlPath ~/.ssh/control:%h:%p:%r
If you start an ssh session to the same (user, port, machine) as an existing connection, the second session will be tunneled over the first. Establishing the second connection requires no new authentication and is very fast.
So while you have your active connection, you can quickly:

Forwarding

On an existing connection, you can establish a reverse ssh tunnel. On the ssh command line, create a remote forwarding by passing -R 22042:localhost:22 where 22042 is a randomly chosen number that's different from any other port number on the remote machine. Then ssh -p 22042 localhoston the remote machine connects you back to the source machine; you can use scp -P 22042 foo localhost: to copy files.
You can automate this further with RemoteForward 22042 localhost:22. The problem with this is that if you connect to the same computer with multiple instances of ssh, or if someone else is using the port, you don't get the forwarding.
If you haven't enabled a remote forwarding from the start, you can do it on an existing ssh session. Type Enter ~C Enter -R 22042:localhost:22 Enter. See “Escape characters” in the manual for more information.
There is also some interesting information in this Server Fault thread.

Copy-paste

If the file is small, you can type it out and copy-paste from the terminal output. If the file contains non-printable characters, use an encoding such as base64.
remote.example.net$ base64 <myfile
(copy the output)
local.example.net$ base64 -d >myfile
(copy the output)
Ctrl+D
More conveniently, if you have X forwarding active, copy the file on the remote machine and paste it locally. You can pipe data in and out of xclip or xsel. If you want to preserve the file name and metadata, copy-paste an archive.
remote.example.net$ tar -czf - myfile | xsel
local.example.net$ xsel | tar -xzf -

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