How do I change the partition table for my hard drive? I have an external hard drive with Master Boot Record partition table.

I wish to change that to GUID so that I can modify the partition on the fly next time. How do I do that? Is it possible to do with disk utility?

(Similar to this, but I have an external hard drive)
This is done the same way with external or internal drives.

Start your Disk Utility (Applications -> Utilities -> Disk Utility). In the left pane, select the disk for which you wish to change the partition table (select the disk, not one of its partitions, disks are at the "top levels" in the tree view in the left pane).

In the right pane, select the "Partition" tab. You must repartition your drive in order to change to GUID, so in the "Partition Layout" dropbox select "1 partition" (or however many you want).

Click on the "Options..." button right below the list view showing your partitions and select "GUID partition table". Adjust your partitions as needed and hit "Apply".