As far as I know, it's not possible...or, at least, fiendishly difficult for ordinary mortals not working for MS or its preferred partners.
I did hours of googling, but had to accept that you need two "My Documents" folders, the MS one and one on your SD card.
Also, you need to reflect the same subfolders on your SD card, such as "My Library" for the least inconvenience.
Not the answer you're looking for, I know. If you find a better one, do fill the rest of us in, please.