Hi,

Take a look at the TCGAbiolinks package and the support tag related to it in this website. I've been using it a bit myself as you'll note. If you want the gene or exon counts, the coverage bigwigs or the exon-exon junctions check recount: https://jhubiostatistics.shinyapps.io/recount/ and http://bioconductor.org/packages/release/bioc/html/recount.html.

Best,

Leonardo