Get around FAT32 4GB size limit

I have a Western Digital 250gb ext hard drive that I have used to transfer my files from my old PC to my new MacBook and now I want to use it just as a mass storage device. However, when I went to save an iMovie project it would not let me and then I read that since it is formatted with one large FAT32 it will not allow me to save files larger than 4gb. I was wondering if any of you could help me get around this problem. Since I no longer have my PC I don't mind formatting it in a format that might only be accessible by Macs. I know that I would use disk utility for this, but I'm just not sure the process of doing it. Thanks in advance