Your downloaded songs are by default stored in your external memory / SD card. However, they gets stored in your phone memory in case the app does not find any space in the SD card or no SD card is present.

'Downloaded Songs' section in 'My Music' shows how much storage space is used by your downloaded songs.

Kindly note that the downloaded songs are stored in an encrypted format and can only be played through Wynk app. Though songs that you have purchased can be played through any other Music player or can be transferred to other devices.