This is a great questions. If you are wondering how to transfer movies from a computer to your SD card you can plug the SD card into your computer and then just copy and paste the movies to the SD card.
If you are wondering how to transfer movies from your internal storage to your SD card you will need to download an file manager app. I recommend downloading ES File Explorer. Once you have that installed just locate the movie and long press it. You will then be presented with options and one is cut. Then just fine the location you want and paste it there.