I can't see how you would see any performance hit by having music on the same drive as your other files. Music files are small and can be read into memory within milliseconds; if anything, the SATA connection to your internal drive (if that is what you have) is going to drop the music into memory faster than an external over Firewire or USB 2.0, which should result in better system performance.
HDD performance really only becomes an issue when you have large files scattered over the disc and lots of continuous activity on the disk (say, between your system swapfile, your photoshop scratch file, and an uncompressed HD video). Then your disk may thrash a bit as it tries to keep up with everything, but music isn't going to cause any such issues.