If your running froyo (2.2) some apps have an option to save onto the SD Card. If your not running froyo, you can't natively.
SO Custom roms may have that feature to store all apps on the SD Card. But you will need to flash a new rom for that and check if it even has that feature.
The Galaxy S has quite a lot of space for storing apps, depending whether your using a lagfix or not. how many apps do you have what size apps are you putting on it. I have about 130 apps and still have 70% of memory spare.