Tell is usually more appropriate when the other person is identified: I told him that... Say usually sounds better when the other person is not identified: I said that....
Of course you may add the phrase to him if you use say.
Tell is used certain set phrases: I told the truth (or a lie.)
tell is indirectly talking about something you said prevously or are going to say I told Jason about the movie tonight I am going to tell Jason about the movie tonight
say is when it is direct I said,"Jason would you like to go to a movie with me tonight?"
Hope this was helpful