You can put them anywhere. Videos you take will by default go to /sdcard/DCIM/Camera (I think). That's the internal SD card. If you're just copying movies/videos to watch, Android does an index of your SD card whenever you change it. So it knows where all the movies/pictures/mp3's are. That means you can put them anywhere. I created a "Movies" folder in /sdcard/sd (that's the external SD card) and copied all my movies there.