SuccessfulKoala55
I initialized the task with Python:

task = Task.init(project_name=args.project_name, task_name=args.task_name)

and downloaded set of datasets later in the code:

for dataset_name in datasets_list:
clearml_dataset = clearml.Dataset.get(dataset_project=dataset_project, dataset_name=dataset_name)
clearml_dataset_path = clearml_dataset.get_local_copy()

Then I go through the resulting directories in search of the files I need, and send their paths to Pytorch dataset object. If the run fails somewhere later I want to preserve these datasets downloaded.