Instructions
Load the SD card into the SD card slot on your Wii and then turn the console's power on.
Allow the Wii menu to load. Move the cursor over the "Wii Settings" icon at the lower left corner of the screen. Press "A" to select it.
Click on the "Data Management" button, and then click the "Wii Channels" button. This will bring up all of the Wii Channels, including Virtual Console games, that are downloaded to your Wii's memory. Click on any game you want to copy to your SD card, and then click the "Copy" button.
Confirm that you want to copy the title by clicking the "Yes" button when prompted. You will be given some options for a save location. Point at the "SD Card" button and press the "A" button. Wait for the transfer to complete and reset the Wii.
Point at the "SD Card" button on the Wii main menu and press the "A" button. Wait for the SD card menu to load. Point at the game you copied to the card and press "A" to launch its menu. Click the "Start" button on the screen to begin playing the game.