Mount your phone to a computer as a hard drive. Then go to "My Computer" (or its equivalent on Mac), and view the contents of your SD card. On my computer, it just labels my EVO as a generic "Removable Drive". Your Gameloft games should be either in the "downloads" folder, or a folder called "gameloft". Just copy the files to your computer the same way you would any other file. Hope this helps!
P.S. If you haven't done so already, you should download a file manager from the Market. "Astro" and "AndroZip" are good. Basically, these programs allow you to view, manipulate, and organize the contents of your SD card directly from your phone, without having to mount your phone to a computer. File managers are great for ROM management, and for cleaning up stray files leftover from deleted apps.