I've used a 20 gig external hard disc with my 3k, so I wouldn't expect any issues with a big USB stick, but I would format it on the S900 rather than on a PC / MAC.

After that your limiting factor might be the "maximum 250 (ish) entries in any folder" limit which has been a "feature" of the Yamaha keyboards for a while. I'm assuming this applies to the S900, it certainly applies to my 3k!