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Is it safe to disconnect an external drive any time?

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All mechanical drives now will automatically park themselves when they lose power. So no worries there.

The Safely remove is the best choice, but if you want to be able to remove it at any time, you need to go into the properties for the drive and enable "quick removal". This will prevent windows from caching any write commands in memory, but can decrease performance of the drive though I have never really noticed it.

This site explains how to do this.

I personally recommend setting this to disable write caching if any rookie users are going to use the drive, to prevent accidental data loss.