Central also comes with a fully featured REST API. I am not aware of a step by step procedure for using the API to transfer data to another server.
Central also comes with an OData connector that allows you connect a live representation of the data to OData-capable tools like Microsoft Excel, Microsoft Power BI, Tableau, SAP, and others. This option has some advantages: the data is transferred more richly to maintain more data format information, and the feed is always live, meaning any analysis or reports you perform in your tool over an OData connection can be easily refreshed as more submissions come in.
Can you share you use-case for needing to copy the incoming data to a MS SQL Server?