Thanks for your feedback, test. I agree that you certainly should have the option, and you do!
If you don't have a storage card, the puzzles will be installed on your phone automatically. If you have a storage card, you will be prompted for the location of the puzzles. At the prompt, you can choose to install them on your storage card or your phone.
There was a bug in some versions of the game that broke this feature (discussed below), but it should be fixed in the latest version.