how to export a .config file

Hello Mbongeni Mbonane,

Thank you for reaching out to the community, you can refer the following doc below:
Import export: https://docs.sophos.com/nsg/sophos-firewall/18.5/Help/en-us/webhelp/onlinehelp/AdministratorHelp/BackupAndFirmware/ImportExport/index.html
screenshot below where you can Export selective configuration:

Good Day,

thank you for your response but the second part of my question was not addressed.

is there a tool that i can use to analyse/audit the configurations of this firewall "Cisco Firewalls use Nipper "

Hi Mbongeni,

Upon our checking on the Nipper website, Sophos is Supported.

Dear Vivek,

export config file successfully downloads from a XG330 (SFOS 19.0.1 MR-1-Build365) but only user does show, so please help me.

Hello Hardik,

You shall need to export full configuration which will have all the configuration details once exported.

You may further refer to the KBA below:

docs.sophos.com/.../index.html

I will check 

Exported the whole file, but it just shows the username only.

Hello Hardik,

If the KBA followed properly and it is still exporting only selective configuration, you may raise it to the support to investigate it further.