Can you confirm you are referring to the Showbox android app not the kodi addon?
If the former, I don't think Showbox supports choosing download location out of the box. You could check settings.
You could also write to Showbox asking them when this functionality will be provided, if at all.
In the meantime, member
@Wurzel suggested this possible fix back in 2015. see if it works for you.
"I have found that if you set the download folder in ES File Explorer to the external storage that you require. Then use ShowBOX and choose the film you want to download but rather than download it set the Player to be External rather than Internal and then opt to Watch. This will now pop up a window asking how you want to watch so choose ES Downloader and the film will download to your external storage.
Note this was with the latest ShowBOX and through Android not OpenELEC "
You could also continue to download locally and then move the file to your hdd via file explorer or similar app.