I'm sorry but most of
the advice so far has been rather irresponsible.
You're breaking a law and due your circumstances if found out you'd be in considerable danger.
If I were you I'd strongly consider giving it up.
I know it's a hard choice, and that the actual "chance" of getting caught is law, but given what's at stake I'd still ponder the matter.
If you decide not to give up your hobby, the least you can do is use a reliable method, that gives you an out.
Truecrypt has already been mentioned. It has a features that allows the creation a hidden volume volume. You create a "plausible partition - fill it up with sensitive, but legal data, so the encryption will be justified - and your "real" data will be still protected among the noise.
The problem with using external devices - DVDs/eHDDs is that they'd be your single point of failure. If they're ever found, you're in trouble. If you encrypted them then using them would be very bothersome in day to day operation and you'd always have unencrypted data on your system that you'd have to clean up.
Regardless what has been said, "decrypting" a scheme like
Truecrypt is *not* a trivial affair. It does provide genuine security, it provides a fallback option, and finally you still have a last fall back option of erasing your stuff. Destroying encrypted data is a lot easier than non-encypted. Using a tool like
Eraser will get rid of it much faster (less overwrites or randomization is required to make encrypted data unrecoverable than unencrypted).
You might also keep something like this on hand:
Darik's Boot And Nuke
This is a bootable floppy/USB/CD utility that will automatically destroy *everything* on your computer if booted.