I synced my iPhone with my iTunes on my MBPr prior to signing up for Apple Music. So, my entire library was already on my iPhone. I'm not sure if syncing afterwards would or wouldn't work.
As far as I can tell, the only way to do it is to create a new playlist comprised of your entire library, then you can make your playlist available offline with the same single step you would execute for a single song. It may take quite awhile to download, though. In my experience, it gets a bit glitchy and fails occasionally, but that may just be because I'm doing 5K songs in my 'playlist'.