How to save data in SD card instead of iCloud

you could set up the SD card as a Time Machine drive, but SD cards are not recommended for that purpose due to the unreliable nature of those storage devices. as affordable as external HDDs have become, I would recommend getting one and use it as your Time Machine drive. you want one with two or three times the capacity of your local drive.

as well, you could manually drag and drop your files to the SD card and save data that way, but a Time Machine backup is still your best bet.

Additionally,iCloud is not a backup for computers - it is a syncing mechanism. If you delete something from your Mac, it will be deleted from iCloud as well.