Media Cache location

How do you stop Premiere Pro from always saving the Media Cache to the system hard drive?  When Premiere saves it to the system drive, things become very slow. I set the folder to an external drive, and it does save there, but somehow ends up being created on the system drive. The external drives are always powered on before the computer or Premiere is on.  I know how to reset it and i know how to clear the cache.  Even after a crash, the cache is still remembered as the external drive. But yet files still get saved to a system drive.  30,000 1k files tend to slow things down.