How can I save videos to just my iPhone XR and not iCloud?

Settings->Photos->iCloud Photos and Photo Stream, make sure they are both off.

With those off, the iPhone will not save photos or videos to iCloud.

Turn off iCloud settings on your iPhone for photos/videos

There is one possibility.

Turn off iCloud Photos, and then manually copy the videos or photos you do want on iCloud to iCloud drive through the Files App.