Simply close the database (File > Close Database >), locate the database in Finder and then copy the whole database file (which should end with .dtSparse for encrypted and .dtBase2 for unencrypted databases) to you external drive. Be safe and copy it to a second drive too.
If you want to keep your preferences, scripts, etc., you might want to see this post.
Edit: just to add to what I wrote: if, of course, your database contains indexed (rather than imported) records, then those will not be included in the database file.