The answer to you question is no! However you can save text files. Mostly because of security concerns, you can only save video, photo, music files. You could perhaps think about using the free BeamBerry to save your files.
So far, the only application I have found using the SD card for storage of data has been MobiPocket 6 beta. At least that allows me to store my e-books on the SD card. I wish Avantgo would do this as well.