That's because manually downloaded files, like those you get in texts and find via the browser automatically download to the Download folder on your phone's internal memory. So far as I know there isn't a setting to change this, but if you use Tasker you could always create a rule to automatically move or copy files that appear in that folder to another... Probably including a folder on your SD card. I haven't ever created such a rule, but you can do practically anything with Tasker so I'd imagine this is within reason.
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