Using an sd card for extra space on bootcamp
When working in Windows on Bootcamp, consider using the system entirely as a windows system. So you would want to format the SD card on the windows side. Then use Steam to save to the SD card itself.

Trying to merge the SD card with your internal storage on either Mac or Windows is going to be a recipe for disaster.

You may also want to consider the speed of the SD card when determining which games might play terribly off of it and which may do ok. You can get Blackmagic Disk Speed Test on the App Store for free Blackmagic Disk Speed Test if you want to test it out. Format the SD card for Mac format first using Disk Utility. Test the SD card with Blackmagic. Then test your internal drive as well. Anything over 100MB/s should be reasonable for most games -- less and you may want to consider what to put on the SD card and avoid games that push the drive read/write speeds.

Once you're back in windows, erase the SD card again and use something like NTFS format so it's nice and fast.

Then follow some steps for Steam to save the games you want to the SD card. For example this video on Youtube talks about the exact issue you're trying to do (albeit not on a Mac using Bootcamp).
Save Steam Games to SD card
Here are the basic steps:


Make a folder on the SD card to store games in
In Steam, click Steam menu in upper left, choose Backup and Restore Games. Then click Downloads.
Click Steam Library Folders, then click "Add library folder" and browse for the new folder you created above on your SD card.
Right click the SD card option in that window and choose Make default steam folder. Then new games will be downloaded to the SD card instead of the internal drive.


Enjoy!