What I do and recommend is to copy all the kma files to the external drive and keep them on your laptop drive to run the show. That way you have all the songs backed up on the external and you have all the speed and smooth running you get from accessing them on the local internal drive.
One thing to think about is that the external drive is still a hard drive and could have a failure just like any hard drive. Having your songs on both hard drives gives you confidence in that the chances of both going bad at the same time is pretty low. I actually keep my songs on 3 hard drives as I have two laptops. One of which is just for backup purposes in case my priamry goes down during a show.
I hope this answers your questions.