Which phone?
Which version of android?
Which carrier?
Which game?
Pretty sure you cannot download an app to the SD card. The system will download it to the internal storage and install it to the internal storage.
Maybe the game lets you move part of it to the SD card, probably not. If the game is well written (probably not) it will let you put its data on the SD card while leaving the app on the internal storage.
Until then, make sure all your music, photos, videos, and documents are on the SD card (copy and delete, not move).