If you've updated your Wii firmware, you can now save copies of the
downloaded games to the SD card without any additional software.
Here's how (from Nintendo's support site):
# To copy Wii Channels to an SD Card Insert the compatible SD Card with
the Wii data on it into the SD Card slot on the front of the Wii
console, just below the disc drive.
# From the Wii menu, select the "Wii Settings" icon on the bottom left
of the screen.
# Select "Data Management," then "Wii Channels"
# Select the Wii Channel you wish to copy, and select "Copy."
# Select "Yes" to "Copy to SD Card."
-Pat