How to force files saved to the system's Downloads folder to be stored on an external drive?
You could do it with a Automator Folder Action workflow:


Automator > New > Folder Action


Set: Folder Action receives files and folders added to Choose folder to: Downloads

Add the following Actions:
Get Folders Contents


[ ] Repeat for each subfolder found - Leave unchecked.

Filter Finder Items


Find files where:


None of the following are true
Name ends with .download


This is to avoid moving a file Safari is currently downloading.

Kind is folder


This is to avoid moving just the contents of the folder.

Kind is other alias


Move Finder Items


To: Downloads [ ] Replacing existing files


Obviously in this instance Downloads is the one on the external drive.
You can choose to check or not: Replacing existing files


New Alias


In: Downloads


Obviously in this instance Downloads is the one in your Home folder.If you do not want an alias created for each moved file, then omit this action.


Save the Automator Folder Action workflow, e.g.; Move to External Downloads


To stop and or remove a Folder Action: In Finder, you can select the target folder and right-click on it and select Folder Action Setup... from the Services menu section of the Context menu.