You can save to HDD or SD by using an USBloader capable or "Partial Nand Emulation".
It redirects the Nand part which is used to read/write the save files to the path you want on your SD or USB.
I think Wiiflow and USBLoaderGX are both compatible.
In USBLoaderGX:
- You need the latest beta (the latest official version 2.3 doesn't have this option).
- You need d2x v8 beta2 (r41)
- Once in USBloaderGX, you can define the path to your emulated nand :
settings > page 3 > user paths > EmuNand path : SD:\nand\
This is the default path, you can define another one, but SD is a very good choice.
- Then you can extract the existing saves from your Wii to your emulated NAND. You have two choices:
* One by one : Go into each game settings, there's a button "extract save game to EmuNand"
* All your saves at once : Go into the main Settings > Features > Extract Saves to EmuNand.
- Then, to tell the USBloader to read and write the saves from the Emulated Nand Path instead of your real Wii's Nand, you also have two choices:
* One by One: on a game by game basis, you go into the game settings > Loader settings > set "Nand Emulation" to "Partial".
* All of them: Go into the main Settings > Loader settings > set "Nand Emulation (save)" to "Partial"
Play your game

It will save to the SD card.
NOTE:
This will only redirect the savegame access to the SD.
If, for example you are using your SD on someone else's Wii, it will use the friend's Wii data for everything else: Mii, Internet settings, Video settings, etc.
If you want to use all your own settings on the SD card, you need to make a full NAND dump, and set the games to use "Full" instead of "Partial".
The full nand dump can be done from : Settings > Features > Nand Dump.
Attention:
- Not all games are working in Full nand Emulation. (Zelda Skyward Sword, for example)
- You need to use your own Wiimote if you play on someone else's Wii, as it will have your Wiimote synch info.
Information:
There's a second Nand path in the settings: "Nand Path Channel"
That path require a full nand dump to work. It's used to list and launch all installed channels on the emulated Nand.
The two options are separated if you decide to have an "empty nand" for the save games only, and a full nand for channels only.
But as default, they are using the same path and work fine using the same Nand dump.