If you got the following error
ufgtoolspg=> COPY (SELECT foo, bar FROM baz) TO '/tmp/query.csv' (format csv, delimiter ';');
ERROR: must be superuser to COPY to or from a file
HINT: Anyone can COPY to stdout or from stdin. psql's \copy command also works for anyone.
you can run it in this way:
psql somepsqllink_or_credentials -c "COPY (SELECT foo, bar FROM baz) TO STDOUT (format csv, delimiter ';')" > baz.csv