To do so, open Settings/Download and press on the 'Storage folder' entry. A new screen opens that allows you to select any folder on your device. If you select a folder on your SD card, then it will become the new storage folder.
FYI because of poor copy performance between the internal memory and the SD card, episodes already stored in the device internal memory will not be copied to the SD card. If you chose to proceed they will be deleted.
Edit: Since Android KitKat, android apps can only write into their own dedicated folder on the SD card. So you will have to select the following folder: