An external hd will help only if you dl away from home and remember to bury it in your yard every night. If you're like most Americans, you probably don't think you pirate enough to warrant a warrant to search your home (and home computers). More than likely, they would come at a time when you're not home and find a copy of Dark Knight sitting on top of your DVD player.
As far as proxy is concerned, exactly how safe could that be when the powers that be come to get you? I doubt that proxy servers leave you completely trackless. Besides that, if you burn pirated software, it's traceable and, once again, the tiny little DVD disc could be your weakest link.
Also, I don't think that it is the porn industry or the music industry that is flexing it's muscles...it's the major motion film industry...movies like Dark Knight just aren't making enough money at the theaters...
What's next? Cracking down on people who share video rentals (the old-fashioned way)? Then, sharing the movies that you actually bought (the same old-fashioned way, hand to hand)? How about movies recorded off of premium movie channels like Showtime and Cinemax...can that be next?