If you would like to, you can save files on an external drive.
The only real benefit comes from moving the sample library to an external drive. Saving anything else (patches, Sunday Keys concert, etc.,) to an external drive is not that beneficial as those files are small and together are only around 1/7000th the size compared to the sample library. However, you can save the Sunday Keys concert file anywhere. It does not matter where it is located (but we do recommend saving it on the main internal hard drive for easy access).
If you are using MainStage 3.3:
The sound library will automatically install to your internal drive. We recommend leaving those files there instead of moving them to an external drive. That version of MainStage doesn’t “support” storing your sound library on an external drive. Though its very possible to do so, a few problems tend to occur, such as if you ever need to reinstall a library or download additional libraries (having not downloaded the full sound library) those files will install to the original location on your internal drive, and usually break the link MainStage had with the other sample library files you had stored on your external drive. You may also get some error messages claiming that you are missing sounds though you are not. We recommend only installing the sounds you need if you are limited on space, and if not, than download the full sound library to your internal drive.
If you are using MainStage 3.4 or newer:
The sound library will automatically install to your internal drive. You can move this to an external drive by selecting MainStage 3 > Sound Library > Relocate Sound Library