I wrestled with this same problem. Ultimately, the easiest thing to do is go into iTunes preferences and uncheck the box that says "Copy files to iTunes folder when adding to library" under the advanced tab. This way, when you are storing movie files on the external(s), they won't be copied over... but you can still mange the iTunes folder with the music and tv shows that you want there (probably purchases from the ITMS). The only caveat with this is when you are adding music to your iTunes from a source other than the ITMS or a physical CD import....
Let me know if you need any more help setting this up, I've got all my music on the internal hard drive and the TV shows and Movies spread out over 3 Western Digital MyBook drives (320, 500, 750 GB).