It depends. If you want to to it with files (photos, music, etc.), not apps, then you just go into the settings of the individual app you are downloading the files through and change the location to save them to as the SD card. Now apps, they are a whole other story.
First, you need to be using a phone that is running at least Android "Marshmallow" (or newer) or be able to upgrade to it. Second, you will need the instructions I am including below. And third, you need a phone that has not been restricted by the manufacturer from making this change. Which does happen.
NOTE: If any of the steps are missing on your phone, or they don't work for you, then you have a phone that either has an older Android version or has been...