I may be wrong, but I do not believe that it's possible. Unless your phone has SIM card technology (which I don't believe BB's do), you cannot save them to the SD card. Contact info is stored in the phone's main memory, hence why you should always back up your BB to your computer. And, as I learned unfortunately once, also run a backup (syncing to outlook, and running a backup, are two TOTALLY different things!)
On the Best Buy site in the device info for the Sprint BB8530 one of the features it says that you can store Contacts on the SD Card. I cant seem to find it anywhere on the phone though.. hmmmmm