Hmmm.. well...... filesharing itself is not illegal, only sharing copywrited materials. Assuming your sharing all legal things, i dont see what anybody would charge you with anyways. But just in case.... moving things from you shared folder offers some protection, simply because if it is not in your shared folder, noone can d/l it from you, and your not distributing copywrited material. The external HD doesnt really matter, because a file is a file, as long as it's not in the shared folder its just a file and nothing more. Now thats not to say to go crazy d/l anything, because there are others ways of getting caught through file sharing programs that i'm not going to go into.
Hope this helps...
~playaj