Well, you can do it basically one at a time on the phone itself. You may be able to do more than one through the gallery or other app, however I can't say for certain.
You can, however, connect the phone to a computer via USB cord. Then move the photos off the phone into an empty folder on the computer. Once they are moved (which can be done all at once) and while the phone is still connected via the USB cord, copy them all over to the SD card.
I say copy from the computer as this will leave a copy on the computer for back up purposes.