An important thing to remember is to store them on a drive with Spotlight enabled. (No NTFS drives wth drivers, I use ExFAT, but it's probably safer to stick with HFS if you don't need to go cross-platform.)
EXS24 uses spotlight to find any non-hardlinked files and/or any files with more than one entry. Chances are that by copying those samples to a new drive you will break your hardlinks anyway as a hardlink is only made if you make/save the preset file with the samples already in thier location.
Without spotlight, you will not be given the option to 'find' the samples a lot of the time, EXS will just check the spotlight list of files adn then manually search any HDDs that arent spotlighted. This can take AGES.
Ther used to be an application built into Logic to fix this, then Apple ripped it out, then a third party App called ExsManager was made to do it, but they seemingly evaporated so there is no alternative if you have a 2TB NTFS drive and want to use those samples for your EXS patches lol.
It's really about time they did something about that actually.
Oh and storing them off the main drive is not a must, but it does wonders for your performance, saftey of the files themselves and you'll get a lot more space to play with in the first place.