I read that wrong. Yes you could transfer data between things without a internet connections. If you are leery about it you can unplug the cable and put both items in airplane mode. Then just turn on WiFi and set everything up.
I might try turning data off and leaving wifi on, your phone may have the option to wifi transfer using the phone as the router. A router wills till be many many times faster, but when you try this turn off mobile data, just to be sure.
The fastest easiest way (assuming you have a router) is to have the PCs on the same network and allow them to share files, or alternatively, use an external hard drive. But, let us know what happens and how it goes.