For fast & easy access, go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here: Using Library Explore button to access downld folder (click on link) & the folder will open up for you.

To learn how to add the files to your portable player, read the manual. There's often a media manager to help which may allow you to drag & drop files from desktop to mp3 player icon.

What do you mean by SD card? I'd be careful of trying to downld directly to external devices.