As far as I know, saving to an SD card is a manual procedure that doesn't happen automatically in the game. You need to copy a game's save data to the SD card by going into the Wii save data management menu from the Wii's main menu (click the wrench in the lower left hand corner), after you're done playing a game and it has saved like normal.
Unfortunately, games with online multiplayer capabilities (Call of Duty, Mario Kart, etc.) can't have their save data saved to an SD card. Even worse is that when copying save data to your SD card, it will copy the entire game's save data; you can't save or load individual files, profiles, etc. to/from an SD card. You can however back up your little ones' save data so if one saves over the other's, you can recover the old one back.
So yeah, it's not the most convenient and simple procedure. So long as the other two youngin's aren't five they might be able to learn how to do it. Hope this helps prevent some future headaches.