Not sure what Daybreak is saying. It makes no difference which drive FCPX is using. Just like exporting or "saving as" from any other application you can direct it where to save the file. I on a daily basis export from FCPX to the desktop. I use "command e" and keep the file in it's native form mat for the most part.
However, the presets in "Share" have specific places they put the file that you can not change. For instance if you select Youtube, it puts the transcoded file temporarily into cache, uploads it to youtube and then deletes it from the cache. Others go into your iTunes library. You can create presets in Compressor (with the desktop as a destination) and import them into Final Cut X to accomplish what you are trying to do.
I generally export out a master file (no transcoding) and then drop it into compressor so I have more control over where it goes and what setting I'm using.