The achilles heel of the current Android system. Most androids 2.1 and before store to the phone memory and you have no choice however options are available.
In order to store to SD card, you will need to either root your phone (See how to's all over the net) or alternatively wait for 2.2 "Froyo" to hit your handset. (again, info regarding Froyo is all over the net)
One more slight downside.... many of the apps won't work from the SD card unless they have been updated to do so, so you may find many of your apps "greyed" out and you'll be unable to shuffle them across.
Give it a few more months and all will be sweet again, we are in a transitional period
Just as it settles, it'll be time for "Gingerbread" 3.0