Considering the positives of the Belenix LiveUSB, I have been looking for something similar for my favourite distro Ubuntu. I ended up with this link. Its got a complete step by step procedure to make your own Ubuntu LiveUSB. Whatever changes you make to the system remain i.e they are persistent, even the extra packages that you install. So now you can have your own LiveUSB with all the packages you need pre-installed.
PS:: I am writing this blog entry from the LiveUSB. You can use your installed system for the procedure, running from the LiveCD is not mandatory.
PPS:: If the cdrom keeps looking for the CD during boot (from the USB ), just eject it and the process will continue.