I'm not sure about how faucets work as of today, but didn't you provide a wallet address to the faucet before actually collecting? Anyway, there are lots of different kinds of faucet services, and each of them has differences in how they work overall. But just look for somewhere in the faucet site whereas you provide an address.
So for example, I have an existing coinbase wallet address, I should put that address to where is says deposit or transfer to right? And also, do you know any good faucets? Thank you so much for the response mate.
Yes, however most faucets have a minimum amount allowed to make that transaction and it may take a while to reach that minimum transaction size considering the low amount of satoshi received from each faucet claim.
We can't tell you how to do it exactly without knowing which faucet you're using.
They should have a withdraw menu/button/option. When you're in that menu, you need to enter a destination bitcoin address to send the balance to. This could be your address from Coinbase. Then you enter the amount you want to transact. Then click "confirm" or "withdraw", whatever confirmation button they have.