correct. format the drive before before you transfer files to it from your pc. format it in windows though, as fat32 for now. then when you have everything moved over to your mac, it's your choice what format you'd like to use permanently on the external drive.
i personally prefer unix file system, but if you don't plan on setting up any linux boxes anytime soon, hfs is a safe bet (especially if you're ditching your windows box after you've completely migrated). if you're planning on using the drive with both mac and windows boxes, fat is not a bad choice, except you can't write files over 4gb large to a fat drive (at-least with fat32) if you don't work with huge files though leave your drive formatted with fat, it's a safe choice for compatibility.
basically, if you're looking for native read/write support in os x *and* windows, stick with the fat format. if you're only concerned about mac/unix-like os compatibility though, unix file system and hfs are fine.
p.s. caffeine is kicking in ;]