In Media Player or Media Centre, yes, you would select sync ( to your MP3 device ). This would normally create a file under My Music or Music, but you can copy to the SD directly from Media Player ( 1 click ) using sync, than having to drag individual tracks.
In Beoplayer (N.MUSIC), you select copy and drag that album to your SD card. In my mind this option is more simple.
An example yesterday evening: On ORF Radio Tirol (N. RADIO) I heard an old Mike and the Mechanics tune featured I have not heard in many years.
SO: Beoplayer info -> Radio Tirol --> check tracklist for track and album (1.5 minutes). Then to my download service, pay and --> download " Hits " album ( 5.9 minutes). The album immediately is found by both Media Player, Media Centre, and N.MUSIC. A 2G SD card with space is loaded into the HTPC and copied onto the SD using N.MUSIC (1 minute). Total time just under 9 minutes, less time than it takes to burn same onto a CD.
As I use Beoplayer and a Beoport, I use the Beoplayer to SD option only.
Remind yourself to back-up everything, including precious music files. 50-100G of lost files not backed-up can be quite sad. PC's and Mac Books crash (I recently experienced this, hence the new IMAC), and CD's and SD's get stolen, damaged, or lost.