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.
Read it here
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.