It's easy to tell the OS where to put the VM file, except I don't think it supports removable drives (only fixed disks). Wouldn't hurt to check, though?

The option of which I speak is in the Memory control panel. It's a drop-down menu to the right of the other VM options, and above the selector that determines how much space on whichever disk is selected (usually the startup disk by default) is reserved for VM.

c