For browser downloads (talking about stock one), open it, press menu button go to advance and select default storage from device to memory card.
For camera pics go to its settings and there should be a option for storage, change it to memory card.
You cant save messages on SD card and they don't have large size, shouldn't be a problem.
For apps you can go to settings -> application manager -> click app you want to move and select move to external storage.
If this doesn't help, be specific what file you want to move and your device?
Keep in mind that in /mnt direcotry there should be SDcard (your device memory) and extSDcard (your external memory card).