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You cannot,that is how apps work. Only if an app allows you to do that.
If it's your own films then you can transfer them to your SD card or copy them from your Pc direct to SD however if they are films from say the Movies app then I wouldn't advise transferring as they may cease to work due to DRM protection and as the DRM keys are stored on internal memory then transferring these will then not have a DRM key to allow them to play