There certainly is ways of using USB thumb drives, SD cards and external drives. The first two links are for individual wifi interfaces for adding external storage (to transfer data in both directions) and the third link is to a sub forum full of details about connecting external storage.....
There is lots of good advice and info on here plus plenty of members all too willing to help with any problems.
Remember, search is your friend. If you can't find the answer you need and you post a question then give as much info as you can to help members help you i.e. iPad 1 or 2, etc. and iOS version and name of app if the problem is with a specific app........and please don't forget to read the forum rules http://www.ipadforums.net/forum-rules-help-info/2119-forum-rules-everybody-please-read.html
If you have other Apple products or are interested in other Apple kit then why not join our sister forum too at http://www.appleforums.net/ and for iPhone users, come and join in the discussion over at http://www.iphoneforums.net