Lion always explicitly moves files to and from external drives
To copy files instead of move them, you can use menu items in the Edit menu, or their associated keyboard shortcuts. I am running Lion, and I have an external usb drive. If I select a file on this external drive and open the Finder's "Edit" menu, there's a "Copy" menu item with the shortcut Cmd-C.

Choosing that menu item, then selecting a folder on my internal hard drive, gives a menu item of "Paste" (again in the "Edit" menu) with the shortcut Cmd-V.

Also, dragging and dropping with the option key held down will copy a file rather than move it.