Well that depends on what you are actually trying to save to the SD card (photos, videos, music, data, apps, etc.), what device you are using and also what version of android.
If you are trying to just save photos and music to the card, that is much easier to do. That is what the cards are actually for. You can also set many apps (for photos, music, videos, etc.), in their settings, to save say your photos directly to the card and not to the phone. Many apps give you the option to save their content to the SD card within the apps settings.
How to directly do it, will depend on your device. Different brands and OS versions have different ways. However with most device, the simplest way is to plug your phone into a computer via USB...