I found the first method suggested in the documentation pull/push even easier. No password or username needed.
pg:pull
pg:pull can be used to pull remote data from a Heroku Postgres
  database to a database on your local machine. The command looks like
  this: 
$ heroku pg:pull HEROKU_POSTGRESQL_MAGENTA mylocaldb --app sushi
This command will create a new local database named “mylocaldb” and
  then pull data from database at DATABASE_URL from the app “sushi”. In
  order to prevent accidental data overwrites and loss, the local
  database must not exist. You will be prompted to drop an already
  existing local database before proceeding.
At first I had an error: /bin/sh: createdb: command not found; which I solved following this SO post.
An alternative described also in the documentation (I did not try it yet) is:
To export the data from your Heroku Postgres database, create a new
  backup and download it.
$ heroku pg:backups:capture
$ heroku pg:backups:download
Source: Importing and Exporting Heroku Postgres Databases with PG Backups