Welcome to Android Central! Which phone? Apps can't be saved completely to an SD card--only a portion of the app can be moved (and often a small portion). Not every phone supports moving apps either. If you can move an app, you'll see "Move to SD" if you select it in Settings>Apps.
The SD card is primarily for media storage (photos, music, videos). Use a file manager app to move the files, or connect the phone via USB and use Windows Explorer.
Some phones have an option in the System Settings to make the SD card the default download location. Certain apps also give you an option to use the SD primarily for data, so you have to look at each app.