Before you begin to copy files, checking if the hard drive is formatted to the OS-compatible file system is a must. Your writing actions may go failing if the file system of the hard drive is incompatible with the OS.
If the file system of the external hard drive is incompatible with the Virtual Machine OS, you need to format the drive in advance. Make sure you have backed up the data on the drive properly because formatting wipes everything on your drive.
For information about how to format a hard drive, please read:
How Initialize & Format External Hard Drive on Windows PC?
How to Format an External Hard Drive on Mac?
Then, you need to close your OS in Virtual Machine. In the Settings tab of your Virtual Machine software on your computer (not the Settings tab of the Virtual Machine OS), you need to change the settings under "USB" or "External hard drive" to "ask what to do" or "Connect to Virtual Machine" when an external hard drive is connected to your computer.
Boot your Virtual Machine OS again, and connect your external hard drive. If you have checked "ask what to do", you will get a notification asking if you want to connect the external hard drive to the host OS or the virtual machine OS. If you have enabled "Connect to Virtual Machine", the external hard drive will be connected to the virtual machine OS automatically.
Now, you can copy files to your external hard drive by following the steps below:
Step 1: Open the files that you want to copy and left-click your mouse to cover the files.
Step 2: Right-click the selected files and tap Copy from the dropdown menu.
Step 3: Double-click your drive to open it, and press the Command + V keys to paste them.
Step 4: Wait for the copying process to end.
Hope this answer helps you!