Alright.

As Adrien said, Slax indeed is read-only. However, there are quite a
few tricks, and you can set up some saving without too much trouble,
and I personally set the slax on my usb stick to save my cookies
because I'm somewhat lazy.
I usually have a messy home, so I don't save it, but you could as well
(I think there are already some works on it, I remember reading a
"persistent" function somewhere, but I didn't try it myself), by
simply editing your /etc/rc.d/rc.6 and rc.0 (shutdown and reboot
scripts) to copy the data to your usb pen before shutting down, and
slax has a directory they copy straight to your / during the boot
process.

For larger or other saves, you would probably want to make a module,
and it's not really hard as long as you don't install many things at
once, since AUFS has got a directory (here, /mnt/live/memory/changes)
which keeps tracks of the change, and you can simply copy a bunch from
here to get all your updates at once without much cleanup afterwards.

I don't know how knoppix or other liveCD distributions manage modules
or user modifications, but I really do think that slax fits quite well
on an usb pen.

---

As a side note, I think I'm the one supposed to add emacs to this
system - adding both tuareg and caml modes shouldn't be a problem, as
long as he gets me interested *coughs*