How can we download the files directly to SD card rather than phone memory on Android phones? Is it possible?
Let's say: without rooting the device, it's quite unlikely to be possible.
On a rooted device, one could symlink the download folder to a folder located on the SDCard, and thus trick the system to directly download to the card (the way Link2SD works with installing apps on SDCard).
It is not possible AFAIK
Look at those two links:
but you can download it and move to sd card. For that see this link