backup some documents but not all to iCloud

See the articles Use iCloud Drive to store documents on your Mac and iOS devices - Apple Support

Work with folders and files in iCloud Drive - Apple Support

Move items to your Mac and remove them from iCloud Drive

• On your Mac, drag items from iCloud drive to another folder in the Finder sidebar or on the desktop, such as Downloads, Movies, Music and Pictures. 
• The items are copied to your Mac and removed from iCloud Drive on all your devices set up for iCloud. If you change your mind, you can drag items back to iCloud Drive.

Easy way is to just backup the desktop and put the stuff you want in iCloud on the desktop and don't put the Documents Folder on the iCloud Drive