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.
There are lots of useful accessories you can get for your Mac, ranging from $4 to $500 or more. Take a look at 10 very useful accessories you can get, what they will do for you, how to search for one online and what to look for when purchasing.