I am doing this from my browser and not the app on my tablet or phone so it may be different there. At the top right hand side this is your 'profile & setting' button to the left of the blue tweet button. Towards the bottom there is a 'settings and privacy' option. Once you select that you can scroll down until you see the button labelled 'Request your archive'. Once you click on that it will pop up a screen that the request was received and you will receive an email with the link. It will be interesting to see what is in that archive and also to have a backup of all of what I did there.
|Main Twitter page where you start|
|Select Settings and Privacy|
|Popup when you request your archive|