Faucets are using a service called Microwallet as a place where payments are stored before being sent to you.
When a transaction takes place on the Bitcoin network it is sent to the blockchain where it is confirmed (this takes time) and a transaction fee is charged. With Microwallet the owners and operators of faucets send coins to an address and they are stored to later be divided up off the chain immediately.
This allows for faucets to send a message to the Microwallet site saying that you have received some coins and they move it internally from the faucet address to your Microwallet address. Once you have reached a threshold the coins are available to you as an end user to be withdrawn which is when the transaction goes back on the blockchain.
- Once you have reached the withdraw limit you do not have to do anything. The coins are automatically sended into your Bitcoin wallet address, plus you don not have to do anything to actually get your Microwallet setup. It automatically exists when you use your coin address on a site that supports Microwallet.