Can they not be moved to sd card in settings? Even in vWii I'm sure you can and I'd like to think Dolphin can use them?
Edit
Taken from Dolphin forum.....
For Wii games:
Just go onto your Wii and navigate to the save data manager. Then copy any save file you wish to copy to Dolphin to your SD card. Then, go into Dolphin and go to Tools->Wii Save Import and find your save file. It should be located within SD Card Root\private\wii\title\ and in one of the folders located there, there should be a data.bin file. That's what you want to import. For example, to import my Skyward Sword save, I had to go to G:\private\wii\title\SOUE\ and select data.bin, press Ok, and it imported the save file. Done. Big Grin