The integrated Egreat media can be used to copy files. You could also install any Android file manager (ES File Explorer etc), but I think it would be overkill for simply transferring files once to an installed HDD.
From the main menu go All Files - USB stick (USB icon with drive label as title).
Then, for one file, navigate to it using remote and press menu button. Select Copy.
Press back to go back to the connected devices menu. Select the internal HDD (HDD icon with drive label as title). Navigate to the place you want to copy the file to. Press remote menu key and select Paste.
To copy multiple files the process is similar but choose 'Multi select' after pressing remote menu key.