Hi Federico,
you can achieve this the following way:
- Use "Web Request" action to call SharePoints Lists.asmx Webservice. See this blogpost for further information: Web Request action for O365. This is rather easy, at the end it should like this:

2. Use a "Query XML" action to extract the attachment urls from the web service response. Action should look like this:

"var_respContent" is the variable where I store the web request result. The XPath Query will then extract only the "Attachment" elements (an URL string) of that xml and store it in my collection variable "var_attachmentsColl".
3. Use a "For Each" action to loop through all items of your "var_attachmentsColl" collection.

4. Inside the "For Each" loop use a "Regular Expression". We need this to get the Site-Relative URL from the attachment URL (which is an absolute url), we will need this URL later. Be careful, you may need to adapt the pattern I used for your attachment URL.

5. Use an "Office 365 upload file" action to copy the attachment to your library. be careful with the "Folder path" parameter. For me providing "Shared Documents" didn't work, i had to provide the display name of the library which is "Documents".

And that's it. As a result, all the attachments will be copied to your Documents library.

Let me know if you have any further questions.
Cheers
Philipp