Download your Twitter Data File

Here are Twitter's instructions for downloading your data, but there are differences from the instructions which haven't been updated. So here are the updated instructions:

In the left sidebar of Twitter, click "More" (3 dots), and a pop up menu will show. Click Settings and Support, and click Settings and Privacy.
Your Account section will be displayed. On the right side, click "Download an archive of your data".
You will prompted to enter your password, so enter it and click Next.
It will want to "Verify it's you", so click Send code.
Enter the code that it sent to you, whether by email or SMS.
On the right side, under "X data", click "Request archive" button. A message will be shown below that it will let you know when it's ready.
You will be notified by email when your Twitter data is ready to be downloaded. It may take a day for it to be ready. Click on the download link in the email.
Again, verify your password, send code, and enter the code.
Click the Download archive button, and again.