The one's preinstalled are on the phone itself, not the memory card.
As for adding more wallpapers, ringtones, and mp3s, simply plug in your phone, mount the SD card, drag and drop.
If you want more wallpapers, just drop a jpg on the card. Your handset will automatically recognize it as a pic and allow you to choose it for wallpaper.
If you want ringtones to show up in the ringtone list (when choosing one), the SD card has a folder called "Media." Within that folder is "Audio." Within that folder, there's "Notifications" and "Ringtones."
Notifications are for emails and texts
Ringtones are for.. well, duh.