From Why is my Plex Media Server directory so large?
macOS
The easiest way to re-locate the data directory on macOS is typically to use a standard symbolic link (symlink) to place the directory in another location and then point to it from the original location. It’s important to note that it needs to be an actual symlink and not an alias or shortcut.
See this thread for an example:
As mentioned in the thread, be careful if using an external drive, as it is easy for it to disconnect from the system.
Also, no exFAT formatted drives. MacOS Extended works (reference).