You can change the storage location of the file in the More Menu > Settings > Receive > Storage location (internal storage). Select the SD card from the storage location.
In order to save files to the SD card, Send Anywhere needs permission to access the SD card (you will only see this at the first time you access the SD card).
※ Please note that you cannot be download files larger than 4 GB at a time into SD card because of the SD card's own settings. If you want to download files larger than 4GB, please change the storage location to internal storage or please transfer after dividing files smaller than 4GB. Then you will be able to download them.