go the app market and get a free file explorer
browse to DCIM to find your pictures, highlight what you want to move, click move. Now navigate to a folder somewhere on the SD card. click paste.
option 2
connect the phone via usb cable and copy and paste via windows explorer
option 3
download a new camera app that will allow you to change save location in the settings. (also check the settings of your current camera app it should allow you to change)