If you've already selected "Split into 2 GB files" in the Virtual Machine's Settings then you can now copy/move the Virtual Machine Package (<name>.vmwarevm) to the FAT32 formatted drive/partition/volume.
A Virtual Machine Package (<name>.vmwarevm) is basically nothing more then a Folder containing files (and other folders). Despite its size as shown in Finder, so long as "Split into 2 GB files" is selected in the Virtual Machine's Settings it can be copied/moved to a FAT32 formatted drive/partition/volume.