next best thing...back up your device using the DM, take the backup file and copy it to the SD card.
what's the point of backing up directly to the SD card ? the card is behind the batt, you'd have to take the batt out every time you need to get to the card. i can see this working if you were "aiming" to lose your phone and you removed your SD card ahead of time. but if you accidentally lost the phone, then you'd lose the SD card with it....and your hopes of restoring another bb with that backup file which you just lost, which is now in the lost phone.
is this confusing enough ?
now what would be 'truely' cool would be to backup directly to an online service....