At the moment is only possible to copy to the internal phone memory.
You can try to submit this as a Feature Request.
Make sure to check that this has not already been submitted by other users.
If it has, then vote for the idea in order for it to gain traction on the community.
WD considers and implements most popular ideas.
http://community.wd.com/t5/Software-Accessory-Ideas/idb-p/software_ideas
