On MacBook Air 2020, how do I save my data to an external disk?

If you want to save all data and files it is in your best interest to make a backup using Time Machine

See this on how to do that

Connect a storage device to your Mac

Connect an external storage device, such as a USB drive or Thunderbolt drive.

• Use a storage device with at least twice the storage capacity of your Mac. For example, if your Mac has 1TB of storage, your backup disk should ideally have at least 2TB of storage. If Time Machine needs more storage space, your Mac will let you know.
• Use your Time Machine backup disk only for Time Machine backups, not for storage of other files.*

Set up the storage device as your backup disk

Learn the setup steps in your version of macOS, or follow these steps in macOS Ventura or later:

1. From the Apple menu  in the corner of your screen, choose System Settings.
2. Click General in the sidebar, then click Time Machine on the right.
3. Click Add Backup Disk, or click the Add button (+).
4. Select your connected storage device and click Set Up Disk.
5. During setup:

• • Your Mac might ask if you want to erase the storage device so that it can be used for Time Machine. Either erase it or select a different backup disk or volume. 
  • Your Mac might ask whether this computer should claim existing backups created on a different computer. Claim the backups if you want them to become part of the backups for this Mac.

After setup, your Mac immediately begins using the storage device to make backups.

See this link for further reference

Back up your Mac with Time Machine - Apple Support