By downloading, do you mean storage, or instaling?
There are no general rule really, but for obvious reasons, the phone memory is faster than the memory card.
For this reason, I INSTALL everything on my phone's memory. The E61 has plenty of onboard memory for all your applications.
The only application I got installed on the memory card is TomTom, because the map files are HUGE.
Think of it this way, Phone's Memory is like the C: drive on your computer with your Windows folder and your Program Files.
The memory card is the external USB HDD for all your movies and mp3s