Well, it is going to depend on the app you are downloading through. The standard apps for photos, music, etc., often don't have the option to change where they are stored, but you can check the settings in each one.
You can try getting an app, or few, that do have the option, or you can do the following to work around it.
You will need access to a computer. Connect the phone to the computer via USB cord. Create a folder for the items being moved and then move (not copy) the items from the phone to the computer. Photos, videos, music, etc. Not apps. Then organize them how you wish. Putting them in their own folders, renaming them, etc. Once you have it all the way you want, copy it all over to the phones SD card. I say copy now, as it...