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I use Aldiko for all my ebooks (free), and it stores everything to the sdcard under an eBooks folder.
I'd be surprised if the Nook app was different in that regard, but never say never where for-pay stuff and copy protection is concerned, I suppose.
FWIW - have you tried reading your books in Airplane mode? If not - I'd wonder how they'd really expect you to use the app at all.