Edit Files
You can edit a file just as a local file in an external editor by clicking the Edit toolbar button or by choosing File → Edit With. The file will be downloaded to a temporary directory and opened with the preferred editor. The file will be uploaded to the server every time you choose File → Save in the Editor application. The file is not changed on the server if you just close the document without saving it or if the content has not changed.
Default Editor
The default editor opened for a file is selected depeding on the file type. If no application is found to handle the file type the default eidtor chosen in Preferences is used instead.

macOS only
To edit file type associations choose File → Info for a given file type in the Finder.app.
Windows only
To edit file type associations choose Properties → General → Type of file → Change… for a given file type in Windows Explorer.
Preferences
Set your preferred editor in Preferences. Select Always use default editor in Preferences → Editor if you always want to use the default editor set regardless of the file type.

Problems
No External Editor Available
macOS only
If the editor does not show up as a choice in File → Edit With (the only submenu item is No external editor available), you may have to rebuild the LaunchServices
database of OS X using Terminal.app:
/System/Library/Frameworks/CoreServices.framework/Versions/A/Frameworks/LaunchServices.framework/Versions/A/Support/lsregister \ -kill -r -domain local -domain system -domain user