Sometimes the access to move them with the apps on the device don't always work so well.
If they are sounds and images that came with the device (not ones you added) they may well not be movable. However if they are ones you put on the device, you should be able to move them.
Another way to try doing this would be to connect the phone to a computer via USB cord and access the phones "Internal" storage first. From there you can move the files to an empty folder on the computer. Once that is done, then change over to accessing the SD card instead (while still connected via USB, no need to remove the card from the phone) and then copy the files over to the card. I say copy because I would really suggest leaving a copy on the computer as...