If you are running Android 2.2 or 2.3 (maybe 3.x also), Settings > Apps > Downloaded, select the app, and select "move to SD". Not all apps let you do this, and you cannot move pre-installed apps.
Only part of the app is moved, and the app data are not.
If you are on a recent Android version, that function was removed with the shift from separate "app" and "media" storage to a unified storage model. So have a look, but if you are on 4.x and don't see a "move to sd" button in the location described above, you don't have the option any more. In this case you may still be able to do it if you root the device (gain administrator access, a process which varies between devices) and use the Link2SD app from the Play Store, but you can't do it without rooting.