You can request USB storage access through selfserve although this might not get approved and there might be a delay getting access even if approved.
You could try less-known 3rd-party cloud storage services that haven’t been blocked by IT.
You can email documents to your personal email. My preference would be to create a password-protected zip file to send as an attachment, you will need to install an additional tool such as 7-zip to add password protection. If your files zipped up exceed 10MB you will need to span the archive over several files and send out the segments over several emails to stay within the sending limits.
Also, don’t forget to download information from Workday: payslips, compensation breakdown, etc.