There are two locations, both labeled Music on your device. One is in the phones memory and the other is on the SD Card.
My method involves plugging the phone into my laptop, and using my desktop music program (in Windows, i prefer Windows Media Player... I'm old fashioned) to sync to my SD card.
This not a one-step process; you have make sure your phone is unlocked. If you have a newer device like my S7E, then you have to use the pull-down menu to tell the phone to allow access to data (otherwise it defaults to charge-only) and on your computer, be sure you are syncing to the SD card and not the phones memory if that's where you want it stood.
Alternatively, if your SD card is easily removable, you can turn of the phone, remove it, then plug it into your computer using the appropriate adapter, and then sync or transfer music files directly to the Music folder.
I'm sure there are ways to do this through Wi-Fi, but I have experience with that (I am aware that you can download some music directly from Amazon Prime Music, but I haven't tried that either).