First: Are you rooted?
Second: If so, are you running a ROM that supports apps2sd or has native support for it in the ROM(Froyo is an example that natively supports it)?
As an example, I run xtrROM and after flashing the ROM there are extra zip files that either turn it on or off. Version 4.0.4 did away with the zip modules in favor of scripts that are run through a terminal. Froyo on the other hand, supports it in the OS so it is just a matter of checking a box or tapping a button to move a particular app to SD. Froyo will only let non copy protected apps go to the SD card.