Tricky since you cannot browse the directories anymore. So you need to guess the exact filename (specifically the version number). Not impossible to do but requires a little guesswork and knowing which versions are available (Freshports is quite useful for this).
pkg fetch $YOURPACKAGE
then move the Packages from /var/cache/pkg/
to a "Shared Folder". Finally, transfer the Packages to its destination on your FreeBSD Host. make package-name
.