From my experience, you can do this, however you may experience problems as 8.6 does not fully suport backup to removable devices such as this. You have to create a backup to disk folder in BE (check help contents on how to do this).
I have heard that BE 9.0 does fully support backing up to removable devices, but I haven't tested this yet.
I currently use ntbackup to backup to a USB 2.0 hard drive for my system. It works pretty well, I just wished it had better logging features.
James
MCP, MCSE