What exactly says "save to SD card" and what do you want to save there?
If you are talking about apps there is a trick using ADB (usb debugging) to set the "default install location" for apps to SD (enable usb debugging, install ADB on a computer, connect via usb and use command "adb pm set-install-location 2"), but that's all you can do. It only moves part of the app, won't work for all apps, and you'll still need space on the phone to do the download in first place.