Put the sd card into your computer and download your videos. Although it claims to play mp4 I haven't been able to make that work. Also you can use Samsung Kies to download media to your SD Card. It's not the most functional program but it is another way to download media to your Card. You can download Kies from either the Google Playstore or the Samsung App Store. I hope this helps, best of luck.
The only two ways I know to save onto an SD Card is to download it directly from your Desktop or Laptop onto the card. Or download Astro File Manager for free. And with that program you can cut and move files from one location to the other.