You can do this, but that can cause you issues with the files if access is not high speed. If you mean that you'll map the path to local drives differently, that's one thing. If you want to have this on a remote drive that you access across VPN, you're asking for trouble.

Here's guidance on using a network drive: http://blogs.msdn.com/b/varund/archive/2010/09/02/create-a-sql-server-database-on-a-network-shared-drive.aspx

Also support: http://support.microsoft.com/kb/304261