The Napster interface is a little wonky, and looking at their help page, it was useless.
Depending on how many songs you're moving, you might find it easier and faster moving these files by using a computer. Move the files from your phone to your computer, then move them back to the SD card. Using the computer route, but moving the files directly from phone to SD card will most likely error out at some point.
To move your files using only your phone, I would really recommend a 3rd party file manager, instead of the stock "My Files" app. Personally, I recommend "Asus File Manager" found on Play Store. It's free, and it has a feature that it can continue copying in the background, freeing you to other things.
That aside, the Samsung File structure seems to be different than a lot of other android devices I've used in the past. Internal storage is listed either as "root", "emulated", or even more confusing as "sdcard".
The SD card is listed as an 8 character Alpha-Numeric name (attached screen shots might help).
Your music should be downloaded in the Napster application folder
Whatever file manager you use, you have to navigate to the Android folder, then data, then the com.rhapsody folder (depending on how many programs you have installed, it might take a bit to find this one). Inside that folder is another folder named Files.
Thats your music, and some other files.
Most file managers should allow you to press and hold the folder icon to select it. To save time, move the entire folder to your SD card.
As how to change your default download location, open Napster, go into settings, then go almost all the way down until you see advanced. If you don't see download options that show your SD card, search the forum for "allow apps to access SD card".
Good luck.