No you don't, you need the cable to get access to the card. When you click on the Xoom icon in "My Computer" on your PC you will have two folders available, internal storage and SD card. Click on internal storage, find your movies, highlight the movies, right click and choose "cut." Now go back to where you had the two storage options and choose your SD Card. After you open the card make a folder for your movies if you are so inclined (I was), if you created a new folder make sure and open it up then right click and choose "paste."
Voila, your movies are on the card and you never had to move them to your PC.
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