If these are movies you have on a computer or other device, you can then just copy them over to the SD card while it is in the phone by connecting the phone to the computer via USB cord.
Now if these are movies you are getting online, that is going to depend on where they are from. If you are talking through Netflix or another service, they don't allow the movies to be put on a card. So what you want to do is not possible. If they are from somewhere else, then you would download them like any other file. Go into your browser and check the settings of the browser to make sure it saves downloaded files to the SD card (files only, not apps) and then download whatever it is you are downloading. Just be careful, you can get a lot of stuff that will damage your device if you are downloading from unsafe sources.