Did you mean Zimbra NE? ZCO is the Outlook connector which wouldn't really apply to your question as far as I understood.
Anyway, yes, a backup to an external drive would be a good idea, especially if you're not pushing backups to another set of disks already
You can mount the drive and change the location of backups in the Global Settings or via zmprov, or you can just mount the external drive to /opt/zimbra/backup. You'll have to move all your old backups out of the way before doing that, but that's also an option.