If the "playdemo" command accepts absolute paths then you definitely can. If it only accepts relative paths starting in the TF Folder it might not be possible. Let me check.
Edit : It does, but the in-game built in doesn't (ds_dir wont accept absolute paths), therefore you just need to do this :
Move all your demos to your hdd, near the root (like E:/demos)
When playing a demo, type E:/demos/demoname (example path)
You'll need to do this from time to time