Mac has a built-in microphone. I also can insert sd card here. How can I save what I am talking into microphone, right to the sd card memory?

Record from the built-in mic onto the hard disk, and then copy those files to the SD card -- usually thumb drives or SD cards are not suitable for live recording.

How can I record from the built-in mic onto the hard disc? And if I do so, it will be still audiofile with take of much memory? Or not?

Any time you record audio from a microphone [of any kind] the resulting audiofile is recorded onto your hard disk. Exactly where those audiofiles will be located depends on the application you use to record or where you direct it to save.