Jun 13, 2006
Instead of writing a whole page response, this link does a good job of how to do it. :)
Most of the time the convert happens without data loss, but there is an ever so small chance corruption can occur. Backing up first is strongly advised.

BUT, big warning for NTFS on removable drives, NTFS does not play nicely on removable drives. Technically it's supported, but you MUST use the "Safely Remove Device" icon in the system tray for NTFS when removing the drive while everything is powered on. Even then data can become corrupted.
It's just the nature of NTFS, and I've heard too many people with corrupted drives after they converted to NTFS on removable drives (USB sticks, HDD, etc).

Are you doing this for large file support? Or is there a different reason?

FWIW, if you're going to leave the external drive attached all the time, then it's not nearly as much of a worry.