Tip for OSX: If steam complains that it needs to be on a case insensitive file system, you can go to the disk utility and select 'New Image' from the toolbar a

Tip for OSX: If steam complains that it needs to be on a case insensitive file system, you can go to the disk utility and select 'New Image' from the toolbar and create a files system, make sure it's case insensitive, and mount it in /Volumes/SteamDisk. Then you have to make some symbolic links to this file system, like: ~/Documents/Steam Content -> /Volumes/SteamDisk/Steam Content ~/Library/Application Support/Steam -> /Volumes/SteamDisk/Steam Once you've got that set up, you should be able to drag the steam icon over to the /Volumes/SteamDisk and then run it.