Well, I have Vista, but Im assuming the processes will be similar.
You can attach your external hard drive, make a folder in it. Then, open up iTunes and bring up the "Purchased" playlist.
Do select all (thats option+A for Mac's right?) and then, simply drag all of those purchases right onto the folder in your external. Then bam, the items will start to transfer, might take a while if you have lots of purchases.