Lumia Denim update allows some Nokia Lumia models to download OS updates to microSD card
The models that support the use of a microSD card to capture an OS download include the Nokia Lumia 530/530 Dual SIM, Nokia Lumia 630/630 Dual SIM, Nokia Lumia 635, Nokia Lumia 636,Nokia Lumia 638, Nokia Lumia 730 Dual SIM, Nokia Lumia 735 and Nokia Lumia 830. The list of Lumia handsets with a microSD slot that do not support this new feature include the Nokia Lumia 520, Nokia Lumia 525, Nokia Lumia 620, Nokia Lumia 625, Nokia Lumia 720, Nokia Lumia 820, Nokia Lumia 1320 and Nokia Lumia 1520.
If you need to know which software version is presently on your Nokia Lumia phone, Microsoft says you should go to the App list, tap Settings > About > More info. If your phone is supposed to support the new feature, but for an unknown reason you can't download an OS update to your microSD card, you need to wait for the next update to your phone for this feature to be enabled.
source: Microsoft via NPU, WMPoweruser