I had struggled with the same thing until I found the way. Though I’m not sure it’s the ultimate way, being new to Snapmaker and CNC in general.
My project was for CNC, so I cannot say the following procedure will work for 3D or laser.
The .cps file that you downloaded can reside anywhere actually. All you do is tell Fusion 360 where to find it, it will import and place it where it needs to be for you.
By the way, the Autodesk documentation is confusing. It seems that it was written for a previous version.
Here’s the procedure:
On Fusion 360, top left corner, choose MANUFACTURE.
On the menu bar, MANAGE, Machine Library
On the left pane, My Machines, choose Local
On the center pane menu bar, click the + sign (create a new machine)
Choose Milling, a dialog box should appear
On the left pane of dialog box, choose Post-Processing
Find Post Location, choose Browse, from the drop down menu
Another dialog box should appear, this time a file dialog
Navigate through your file system and find the folder (directory) in which your .cps file resides. Click Open. (you do not have to choose the actual .cps file, just the folder)
Find Post Processor, click the drop down menu
If you have done all the steps correctly, you should now find Snapmaker in the menu.