You don't need to split anything, just transfer the game in it's original form over to the internal HD. If you have a game with split files, use MultiMan to transfer them from the external to the internal and it should (depending on how they were split) reassemble them correctly. You only have to use FAT32 on your external HD, the internal is not FAT32 so there is no file size limit.
I'm running unsplit games from external up to 7 gb with no problems , agree with severusx , try moving to internal with multiman , you can do this simply by going into the file manager and on the left hand colum select the folder it is currently in which will be the folder for your usb drive , on the right hand column drill down into the hdd folder were your internal games get stored , when the two halfs look like that move pointer to the bles game folder and highlight the folder and press select + O this should move the file from the usb folder to internal drive folder.
another way is simply to select on the game folder view and click O to copy the game when asked select internal drive copy , once copied delete the file in external drive.
I now also boot all games with a disc in , seams to be far more stable and prevents a lot of screen freezes.