Yes, they're in a folder called DCIM/100MEDIA on the sdcard.
As a basic user, you will _not_ be able to do things to the phone's internal memory other than to basically install or uninstall apps.
If you haven't already done so, you want to get the ASTRO File Manager free in the Market - there are other file managers, they're great too, but start with ASTRO - you can use it to familiarize yourself with your card's layout.
With ASTRO - you can use to freely backup your installed apps to the SD card. It sounds like you've started to hoard apps - so back 'em up using ASTRO and then do as others are telling you -
1. If you are running 2.2, you go (from your phone desktop) to Menu -> Settings -> Applications -> All (tab), you can click on each app you've installed and if the developer allowed for it, you tap a button to move the app to the sd card.
2. Start deleting apps that seemed like a good idea at the time - don't worry about what if you need it again and what if you can't find it again in the Market - ASTRO's backup will let you re-install any, all or onesie-twosie.
If you're unsure if you're running 2.2, you find that out under Menu -> Settings -> About phone -> Software information
PS - Welcome to the forum!