AFAIK, Lumia 925 doesn't have an SD Card, and installing xap files is not possible in Windows Phone 8.
However, in Windows Phone 8.1, things have changed. you can just copy xap or appxbundle file to your internal storage, then go to store, open three dots menu from bottom, tap install local apps, select the app and tap install.
Please note that it's just possible to install xap or appxbundle files downloaded from windowsphone.com (you can't install pirated apps, for example), unless you have a developer unlocked phone.