It is the same as copying a file from one folder to another. Find the path of your application's database file in the internal memory and copy it to the desired folder in the SD card.

For the database that you want to copy, use some explorer to copy it as you normally do with any other type of file, and then remember the address to access it internally later. Remember that the applications databases are handled internally by Android, others externals by the user.

You can send any file to your device using USB cable or wifi, Bluetooth, etc.

In funny words, using your finger:) but Nikolaos and Oscar have right:)