Can I change the download path for the Amazon MP3 cloud?
Manually moving files as suggested by Michael above works (I use Ghost Commander on my device), but today I found the Amazon MP3 Mover app.

It automatically moves the files to the folder you specify on your SD card as they download and then the Amazon MP3 player app (or Apollo or whatever else you might use) finds them in their new location.

I just downloaded it a few minutes ago and am testing it. So far so good!