It is normal for the images to be saved to the "internal" storage, as that is what comes with the device. Just inserting a SD card doesn't change where things are saved. That has to be done within the individual apps that you are using.
The following should work to change where your photos are saved. Try this...
- On the home screen tap "Apps" and then tap "Camera".
- Next you want to tap "Settings". It should be on the lower left.
- In here you now want to scroll down to "Storage" or "Storage Location".
- Tap that and then tap to select the "Memory Card" or "SD card" as your chosen storage for the photos taken.
NOTE: This will not change where the ones you already have taken are, you would have to move them to place...