You usually say that you download apps onto your phone. "To" your phone would also be ok. You can also say that you added the app to your phone. And when you have to update it, you update the app on your phone. :)

To be honest, I have heard "on," "to," "onto." The most frequent is probably "I downloaded the app to my phone" but there might be regional differences in this construction. "In" is definitely rare.

"to" is the correct preposition