I know you can't for the Kindle app. I strongly suspect you can't for the Nook app (it isn't really in B&N's interest for you to read books from Gutenberg and other places where B&N gets no payment).
I started out with the Kindle app and there was supposedly some way you could "sideload" (for lack of a better term) non-amazon books on it but I couldn't make it work.
Enter Aldiko. I think it's a FANTASTIC app. It's very configurable and supports a whole bunch of e-book formats. It's a no fuss, no muss setup and I haven't experienced any issues with it. I'd definitely recommend trying it.
I think you can even convert Kindle books to a format it can understand, but I'm not sure on that since I don't have any Kindle books that weren't free. I can find them in the other formats for Aldiko.
The Nook device, not the app notoriously allows you to read nearly any format on it. Kindle does not. You can read Guttenberg, adobe, epub, and other formats on the device. As for the app, I haven't figured out how to get those format on the app yet.
I have been using the Nook reader and I find it hard to use. It frequently shuts down, pages turn awkwardly (either too slow or erroneously) and it flips orientation even though I have an app locking portrait. I have gone back to ireader for B&N books.
On your SD card load some .epub files into the nook\my documents directory. Then when you go into the app again hit menu, choose filter, then choose my documents. They will be there.