Hi John,
First,make sure that your media cache files preference (under Preferences> Media) is set to your external drive. For files that are part of an existing project, you will likely have to delete your previous media cache files for Premiere to start using the new location. Also, make sure that " Save next to originals when possible." is unchecked.
That should be it.
Vince Becquiot
Indigo Live
San Francisco - Bay Area