Once in the right folder, select a picture, video, or sound file and press the "options" button/menu or any similarly named menu item. There should then be a "Move to", "Move to memory card" or "Move" menu item. In this case, the menu item was just "Move". On the next screen, I had to choose where I wanted to move the file so I selected the memory card (whose name is "NO NAME" since I neglected to name it). On other phones, selecting the "Move" option may have automatically copied the picture to my memory card.
Keep in mind that the "Move" option deletes files from the phone's memory. If you want to keep a copy of your picture on your cell phone, rather use the "Copy" function.
Repeat these steps for all the pictures, sounds and videos your want to transfer, then proceed to the final step. On some phones, you can also select multiple files at once and move them altogether to the memory card, which is faster.
(Illustration: The Nokia 6300.)