-If you Sync using Windows Media Player when you click "next device" you can choose Lumia ...SD card or Lumia...phone or whatever your phone's name is.
If you use Windows phone app for desktop to sync, at the bottom left side of the page it says "capacity" there you can "choose SD card or phone" .
So you choose before you sync, at least if I do and I know where photos or videos or music end up.
But it might default to SD card if you set it that way on your phone. Connect your phone to PC, sync one or two pictures,
go to "computer" on your PC click Lumia phone and open it, it will show Phone and SD card, open Phone and see if that one or two photos
ended up there, if not open SD card and check , then you'll know if it defaults to SD card for photos if you set it up on your phone that way.