To setup automatic downloads for Wells Fargo you can follow the steps below.

Open a web browser and go to the following page -

Then login to Wells Fargo to begin the FMS setup process

Wells Fargo will send an authentication code to your one of your known phone numbers. Entering that code into the form on Wells Fargo's site will confirm your identity and enable Moneydance to connect.

You then have 10 minutes to attempt to connect to Wells Fargo from within Moneydance.  
To do this, open Moneydance, select your account and choose Online --> Setup Online Banking. 

Once the first connection is made, you should then be able to download from your Wells Fargo accounts at any time in the future without having to repeat this process.