You can usually cancel or stop a file transfer from your Mac to an external drive by clicking the corresponding button shown in the file transfer window. It's advisable to finish copying the file that has been copied halfway and stop before the next one can start.
However, if you find no such button, interrupting the transfer is not recommended as that may corrupt your drive, causing it to be inaccessible. Instead, you should let the transfer complete and then trash those you don't need.
Suppose you have to stop the transfer in progress, you can restart your Mac, then delete the files that have been transferred to the drive.