Whenever taking data from place to place, it’s essential that you keep it secure. Password protecting files is not enough. Most organisations (and the ICO) require that data is encrypted whilst at rest, and whilst in transit.
By encrypting your storage, you can be confident that if it is lost, anyone finding it will not be able to view your files and data. In this way, you are taking sensible precautions and will be less likely to be subject to a penalty under GDPR.
There are many secure USB devices, ranging from memory sticks to hard drives. I recommend that you look for hardware encryption, and buy a reputable brand of device, checking that it is compatible with the types of device that you will use it with.
My current recommendation is:
These are a great way of keeping your data secure when you need to carry it. Compatible with just about anything with a USB port, the encryption is hardware based, using an on-board keypad for entry of pass codes.
You can find them on Amazon here.