I know you can change the default storage for the browser and the camera, also the voice recorder, however I don't know of a way to do that with movies. I think it is going to depend on how you are getting them. An app, the browser, etc. That will determine if it can be saved to the SD card, as it would be determined by the apps settings, or the browsers.
Camera App Storage Settings...
1. Go into the "Camera" app.
2. Now tap "Settings" in the "viewfinder".
3. Finally tap "Storage" and select "Memory Card".
Voice Recorder app Storage Settings...
1. Go to "Voice Recorder".
2. Next go to the app's "Settings" menu.
3. Now tap "Storage" and select "Memory Card".
Internet Browser Storage Settings...
1. Go into the "Internet" app.
2...