I found the easiest way to use Zedge, since I dont have or need a ton of ringtones and wallpaper, is not even install the app. I just go to the website, search for ringtones I like and email the MP3 files to myself. Then save in my phone. It shows up in my ringtones under "music". This way I dont have to download the app, only what I want. Works for me!
Not sure why they're going to the SD card though.