It depends on where you downloaded it from. If it was through a specific app, then it would be where ever that app put it. If you just downloaded it from a location and not through a specific music app, then it should be easily found.
There are two ways you can look, at least if wherever it was obtained from saved them as mp3 files. If not, then they would be harder to find.
Option 1. Go into the settings of whatever app you used to download the files to, and in that apps "Settings" see where it is set to download files to. Then you can use the phones file manager app and access said folder. Then from there (in that same file manager app) move the files over to the SD card. NOTE: This can take a while as that app is not meant to do massive moving.
Option 2. Connect the phone to a computer, via USB cord. While connected to the computer, use the computer to locate the location of all the music files. Then select them all, and you can move or copy them to the SD card all together.
NOTE: I would suggest doing it as a copy first, to make sure the files indeed do show up on the card and are still accessible on the phone from the card, before deleting them from the phone. Any errors or problems (bad SD card, etc.) and you could lose all the files.