Should I disconnect external hard drives before creating a backup?

It depends. Do you want Time Machine to include them in its backups? If you do then they must remain connected when creating a backup. If you do not, then you can simply exclude them from being backed up.

Refer to Exclude files from a Time Machine backup on Mac - Apple Support. Its title implies only files can be excluded, but as it goes on to explain any item can be excluded — files, folders, or drives. A more appropriate title might be "Exclude items from a Time Machine backup on Mac."

In any case it is not required to disconnect anything.