Plug your phone to the computer and choose the "Mass Storage" mode, then move the pictures, sounds etc. to your sd card. I suggest you make folders separately for different things if you have a lot of stuff, just to make things more clear when browsing the sd card in the future. Images in the memory card should automatically show up in the "Gallery" app in a section named after the folder where the pictures are.. Any supported sound files can be found in the music player
If you want to have custom alarm sounds, make a folder called "Alarms" to the root of your sd card and move the audio files there.