How do I backup to Timemachine on HDD, but not lose already backed up data?

How is the external drive currently formatted?

If it is already formatted APFS, then simply add an APFS volume in the container and use that for the TM backup, as @Owl-53 has suggested in their post.

If the drive is currently formatted HFS+ (Mac OS Extended), then you must repartition the drive to add an APFS partition and volume. This should not erase the data already on the drive, but stuff happens (!) so you do want to have some sort of backup of your stuff before you repartition the drive.

Partition a physical disk in Disk Utility on Mac - Apple Support (IS)

The general rule of thumb is to use the Time Machine Backup drive for Only One Dedicated Purpose

Use your Time Machine backup disk only for Time Machine backups, not for storage of other files.

Excerpts

• " Use a storage device with at least twice the storage capacity of your Mac. For example, if your Mac has 1TB of storage, your backup disk should ideally have at least 2TB of storage. If Time Machine needs more storage space, your Mac will let you know."

" Advanced users: If you add an APFS volume to the external storage device, you can use one volume for Time Machine backups and the other for storage of other files. The Time Machine volume should be twice the storage capacity of your Mac. "

To truly protect your non replaceable Data

Have a 3-2-1 Rescue Plan in place and always current

3 Backups using 2 methods and 1 off site incase of natural disaster or un-natural disaster.

Each of the above should be done to a Dedicated Single Purposed External Drive 

Below link is intended to augment what TM Backup does 

https://bombich.com

The best backup is 3-2-1

3 copies of your data. The original is the 1st copy.

2 different backup devices using 2 different backup utilities. Prevents a bug in one backup utility from affecting both backups, a failure of one drive from loosing all your backups.

1 copy off-site. Protects against a natural disaster, fire, theft, etc… Could be a network backup to a cloud storage service or your own NAS at a friend or family member’s house, or a backup drive you keep at work, or a set of drives you manually swap back and forth with a remote location.

" Advanced users: If you ➡️  add an APFS volume  ⬅️ to the external storage device, you can use one volume for Time Machine backups and the other for storage of other files. The Time Machine volume should be twice the storage capacity of your Mac. "

The implications for using a Single Drive for multi purposes

Putting all the Eggs in One Basket ( Drive ) and the drive fails ?

And they do fail just when you are in desperate need

What now, is the question only the user can answer

A second or third drive may " Safe the Bacon " sort of speak