Hi, it should download automatically to the SD card; there's not any kind of manual setting for this. If the songs are downloading to your internal storage instead, try this: Go into your Spotify settings and choose "delete cache and saved data." After it finishes clearing everything, be sure to set your download quality to extreme, then try downloading your music again. It should go to the SD card.
dinomightRock Star 10
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Also you can remove app and install it again. It should do the job also.
Also please keep in mind that when you do that, Spotify can be a bit slower. For example on Internal SD card using 100 Mbps Internet it downloads one song in second, but to external it might take more. As these cards may be a bit slower.
You can try to fast-up downloading if you choose fastest possible card like Class 10.