Hmm, strike 2? I don't think the OP meant apps either. I could be wrong though, depends how these "films" were downloaded.
@gynfor123 : We need more information in order to help you. How were these downloaded, in an application itself like Google Play Movies or Samsung's own media programs or were these files you downloaded off of some website or transferred to internal storage via USB cable from a computer? If these are files that stand alone (like AVI , MP4, MOV, MKV etc. etc.) then the operation may not be that involved, you may simply have to navigate to their location using My Files app, copy them (using long press to select multiple files), navigate to externalSD, create a folder if you wish, and paste them.