Hi River Horse,
The "better performance" that you mention, will hardly be noticeable in the normal day to day work, however the 4GB "limit" on copying individual files on FAT32 will not apply to NTFS...... You mention that you do not use Mac operating systems, but NTFS also has difficulty writing to Linux using native tools. This greater degree of compatibility is one of the main reasons for many External drives being formatted (as shipped) in Fat32
Fat32 can be converted to NTFS using an elevated command prompt from within Windows..... BUT this is a one way process it cannot be reversed without reformatting.( reformatting deletes the data)
If converting using an elevated command prompt then I would still recommend that you check you have a complete and accurate back up of all the data on your external drive kept safely elsewhere.... check it and then check it again....... Using convert.exe from an elevated command prompt "should not" result in data loss, however it can and does from time to time so a full backup is highly recommended.
Sometimes it's more reliable to delete the FAT32 partition by reformatting in NTFS (this will DELETE your data) and starting afresh with NTFS. however the importance of a 100% effective backup strategy is paramount)
Before embarking on the conversion think carefully about the expected benefits that you hope to achieve.... this procedure operates at a fundamental level...so is not to be undertaken lightly, however it can provide folks with the facilities required for their individual needs.
If the advantages to you outweigh the disadvantages then "go for it!"