Actually, they should go there by default if the SD card is installed when you install Pleco. If not, though, moving them is a bit awkward:
1) Go into the Pleco "Settings" screen / "General" / "Startup" and set the "File Storage Location" to "Custom" and the custom file directory to whatever your external SD card's directory is with "/Pleco" added to the end.
2) Reboot your phone.
3) Move the Android/data/com.pleco.chinesesystem/files folder from your internal storage to the top level of your external SD card, and rename it to "Pleco." (so the "files" folder is now "Pleco" and it's located right at the root directory of your external SD card)
4) Run Pleco again.