Hi Katie! First let me welcome you to our board. Glad you bought a Dell Axim, those are certainly sweet devices. As to your question how to transfer a file to your SD card, I suggest you have a look here:
(especially bottom paragraph)
Another way, if the files are already in the RAM of your device, is to use the built-in File Explorer. Just cut and paste to move files off the main memory to My Device => Storage Card. Another good beginners guide is offered by Microsoft:
Hope that helps!