As far as I know you can't play VC games directly from a SD card our any other external source. You can copy VC games that are stored in your system memory over to the SD card and then delete it to make room for others. Then if you need to play it later just copy it back from the SD card.
I just keep the ones I know I am going to use the most in system memory and the rest are copied to my SD card. Some of the games that have over 200 blocks can take a couple minutes so it can be a pain. I hope someday the big N will enable playing games from external USB hard drives or flash drives but I have a feeling it wont ever happen.