I've been using a tiny, 1/4-inch high flash drive that stays in the keyboard at all times. It is manufactured by Verbatim and I found them on Ebay for a fantastic price with free shipping. Keep in mind that most files used in your keyboard are very, very small, thus you don't need a monster drive unless you load it up with .wav or mp3 files to be used like a DJ. 8 gigs is more than enough to store every style file and midi file on the planet.
All the best,
Gary
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PSR-S950, TC Helicon Harmony-M, Digitech VR, Samson Q7, Sennheiser E855, Custom Console, and lots of other silly stuff!
K+E=W (Knowledge Plus Experience = Wisdom.)