There are many options with USB Flash drives now. Here is a tutorial on how to install Damn Small Linux on a Pen Drive. This is version 4.4.7, the newest version. Plugin your Pen Drive in to the USB slot. For DSL it is a great one to experiment with because you can use a small Pen Drive to work with. A 256 MB Pen Drive allows you a lot of space since the operating system is only 50 MB.
Spin up a Live CD of DSL or use DSL off an existing computer and go to the menu Apps/Tools and Install to USB-HDD Pen Drive. Please note that the computer you will use the Pen Drive on must be capable of booting to a USB Pen Drive, that acts as a hard drive (HDD). You will see the first window and it will ask you if you want to check to make sure the is at /dev/sda. Be sure you do not have any other USB Pen Drives attached and DO NOT MOUNT THE PEN DRIVE (that potentially could damage the Pen Drive).
You will have a number of options that you can have with the install. The default options will place the entire operating system in RAM when it boots, this makes it run much faster. The default boot options are the best way to start.
Add a different language if needed.
Verify that you want to continue.
Watch the install.
To use the new USB Pen Drive plug it into a computer that is off and then boot the machine. Many machines will allow you to choose the F12 key to determine how it will boot. Click F12 as the machine starts and select to boot off the USB Pen Drive. This will not hurt your existing operating system in any way. This allows you to boot your DSL drive off any machine and save your files on your Pen Drive.