The Nintendo Switch's SD card slot is underneath the kickstand, which you can only see while it's in handheld mode.

Where does the SD card go in a Switch?

Underneath the kickstand is a small slot that you can insert a microSD card into. The kickstand is located on the Switch itself, not the dock, so you'll need to have it in handheld mode to insert an SD card. Once you've inserted a microSD card into your Switch, you can save game data and screenshots onto it.

Does any SD card work with Switch?

The Switch is compatible with SDXC cards, which is backwards compatible with the older, smaller capacity SD and SDHC cards. So pretty much any microSD card you've got lying around from an old Android phone or a digital camera should work in the Switch.