Go to your Wii's menu, and head to the save data category. Choose the game data that you want to copy, and then copy it onto your SD card.
However, some game data is copy-protected. To deal with copy-protected game data, you'll have to get hold of the Savegame Extractor. You'll also need the Savegame Installer if you want to copy the dumped game data onto another Wii. I already knew the first part & thanks for the 2 part though. I'll let you know how it goes.