Yes for having pictures and videos store automatically on your sd card, you have to set that in your camera app under settings. This will not move existing pictures and videos though. You would have to move those manually.
For apps, once installed there is an option under manage applications to move each app to your sd card. But honestly, unless you have a TON of apps, there's no reason to do it. This phone has ample storage allocated for applications.
If you want to move files around on the phone rather than use a PC, a great free file manager is called ES File Explorer. It has all the multi-file select and move/copy functions you would need. Astro File Manager is a popular free one as well.
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