there are multiple articles online on how to use github (and git as needed).
For eg this one: https://www.freecodecamp.org/news/git-and-github-for-beginners/
Once you’ve created a repository on github you can copy the code over from codepen one-by-one.
edit: also this post about the same issue may help as well
https://forum.freecodecamp.org/t/connect-codepen-project-to-github/269031/2?u=hbar1st