When you initiate the import process you will see in the right most column at the bottom of the list "Destination". This is where you will select the external drive. To learn more about importing read on:
In the panels on the lower right hand side of the import module, you will find places to designate the drive and folder you want to use for the imported images.
Oooops, cmgap beat me to it :-)
When you run the import process, you will be prompted with the import screen, which is logically divided in three section, left to right:
Source panel on the left, select view on the middle, destination panel on the right.
You have to select the right destination drive from the right panel.
As you may notice, I have two drive available: Macintosh HD and MiniVault.
Just choose the right folder on the right drive.
If this is not possible for whatever reason, maybe give us some details about the issues your facing.