The default location of snapshot files is in the virtual machine bundle. However, snapshots are not independent copies (they depend on the base disks); copying them to an external drive will not be useful. However, assuming you're using a normal virtual machine (as opposed to a Boot Camp or other raw disk virtual machine) and that you don't have external references (you don't by default), you can move/copy the entire virtual machine bundle to the external drive.
See also http://blogs.vmware.com/teamfusion/2008/11/vmware-fusion-3.html
jbruelasdgo: This is the Fusion subforum, so unless YosemiteSam posted in the wrong subforum, Consolidated Backup is not an option.