If you want something faster than an external hard drive, and better than a USB Flash drive, you can build an external SSD drive with an SSD and an enclosure. I built a 256GB USB 3.1 external SSD for less than $70 that works great on my Mac. Learn how to build your own.
Here are the two items I show in the video:
SK Aluminum M.2 NVME SSD Enclosure
Silicon Power 256GB – NVMe M.2 PCIe Gen3x4 2280 TLC SSD