I do it using a PC + Google Chrome + Chrome Developer Tools + DOM Inspector.
Step 1

Step 2

Step 3
Use the → key to navigate to the required story.
Then press the || icon to stop the story playing:

Step 4
Press F12 to open Chrome Developer Tools.
Step 5
Click the arrow in the top-left corner of Chrome Developer Tools:

Step 6
Click the story:

Step 7
Click the «Content source» URL.
It will open the story's image/video in a new Chrome tab.

Step 8
Now you can save it to your PC:
