NOTE: To set the download location to a folder on an external SD you will need to have a rooted device. See the following tutorial to get an idea of how to root your device.
(1) Open firefox and type about:config into the address bar and tap Go. You will see a page displayed like below.
You may want to bookmark this for easier future access.
(2) In the search bar, type down (for download) and wait for Firefox to filter the list.
(3) Scroll down to browser.download.folderList and tap it to display the editing controls. Change the value from 1 to 2 (from “default always” to “last used folder”).
(4) Tap the large “+” above the list to add a new setting.
(5) On the right side, you see “Boolean” tap that and change to “String”.
(6) Name the new setting as browser.download.dir
(7) Below the name of the setting enter the file path for the folder location you want to use. In my instance I had created the folder Download on the external SD. For example:
(8) Once you have entered the file path tap return and then tap Create.
From this point on when you download something it should go to the folder you have specified.