Apologies for this question as new to GOG.

Purchased Witcher 3, do I have to download full game, all 9 files, around 24Gb? Seems like a mighty amount of data.

Yes, if you use the browser.
However, you could also use the GOG Downloader and download from here.
Or you could use the GOG Galaxy client.

They should all have about the same size.

So basically it's best if I keep going as I'm halfway through. Is it then put in folder all files and then run the install file?

Yes. just download all files and install the game by double clicking the exe-file later. Don't forget the patch (2 parts).

Yes, just ensure all downloaded files are in one folder and run the installer, then just select install destination, select if you want a desktop icon etc. In case of such large installer and multiple files, the installer should check files integrity, to ensure nothing got damaged during download, and if it got, you'd just need to redownload the damaged part and not everything again.

And that's it, no unavoidable clients, no separate activations etc. Though, if you decide to use Galaxy Client later, you'll be able to import the already installed game.

GOG Downlaoder, on the other hand, is a legacy (no longer updated, but still available) simple program to manage downloads.

Same goes for the DLCs and bonus content, you have multiple ways of what and how to download.

Thanks everyone, hopefully I'll get it done tonight but the downloads will probably take all night. Cheers for the help.

He doesn't need to do nothing if he wants to use Galaxy, it automatically detects the games installed.

I got the download completed, carried out the install but didn't launch the game as I hadn't done the patch. Problem when running patch is it says it can't see the file, I did download the App file and the PART file.
Does the game need the patch?

The patch provides bug fixes and for some of the newer DLCs you need it or you can't install them. The patch is splitted in 2 parts (1 exe-file and 1 bin-file). Perhaps the download failed and you got some corrupted files.
You could try redownloading the patch or import the game to GOG Galaxy and let Galaxy do the patching.

== IMPORT ALREADY INSTALLED GAMES TO GALAXY ==

1. For GOG games installed using installers from the last few months (so called Galaxy-compatible installers)
Click the "+" button on top of the sidebar and select "scan and import folders" - it will find all compatible games within that folder and add them to the Client.

2. For remaining GOG game INSTALLATIONS
Find the game in the Library (click on the image of the game), then click the More button and select "Manage" -> "Import folder" and point the folder selector into the folder where that game is installed.
Please be aware that Client will accept any folder pointed to and will overwrite files inside it (this can for example wipe some mods or damage other apps in case of pointing to a wrong folder) and will update the game to the newest version (current default language English).

Source: http://www.gog.com/forum/general/gog_galaxy_beta_2/post1

Thanks guys, everything good once patch file was downloaded again and rerun. Game running very nicely