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How to Format a USB Stick or SD card with UDF Filesystem on OS X and its Advantages

My internal SSD was getting a bit full so I decided to offload some media onto large SD cards as my MacBook has a built in reader, SD cards are more portable than hard drives and less likely to snap off than a USB stick. I had a problem, however, when I tried to put a bigger than 4GB film onto the card as FAT32 doesn't support larger files. Obviously I'd need to use a different filesystem format, but what? I looked into the common options most often mentioned: