You either export from RekordBox to USB drive and then plug those into the CDJs or if playing from a laptop then you have a couple of options:
1. Connect via pro DJ link - doing so effectively means you laptop is just acting as one large storage device for your music and all the processing happens on the CDJs / Mixer rather than through the laptop & software.
2. Connect the mixer and decks to your laptop via USB - doing so this way is then turning the CDJs into a controller (dumb device) and the processing is happening through the laptop.
If you are connecting and using a laptop to play from and your music library is on an external HDD then you are going to need to leave that connected.