I like to use the cheatcode tohd to put the knoppix dvd onto the hard drive. However, I didn't use mkimage when I ran it initially. (I don't know if that would make a difference)
For some reason, using the cheatcode "mkimage" later was ignored.

My boot command line was something like this:

knoppix64 tohd=/dev/sda1

and it dutifully created the KNOPPIX directory on /dev/sda1 but I didn't get a persistent storage file.

One thing that's interesting is that when knoppix boots it automagically scans the drives and finds that KNOPPIX directory even if I don't specify the cheatcode "fromhd=/dev/sda1".

So if you want to create that knoppix-data.img by hand just launch a terminal after booting into your KNOPPIX and

dd if=/dev/zero of=/mnt-system/KNOPPIX/knoppix-data.img bs=1024K count=4000

This will make a 4000MB persistent file (you can make larger if you like) The hard drive that I'm using is formatted FAT32 so my limit is 4GB. Using other formats will have no such restriction.

(And as always, exercise care with dd since you can easily clobber your drives if you enter the wrong parameters. They don't call it disk destroyer for nothing. I've done it once or twice by entering parameters without thinking.)

Then you need to format it

mkfs.ext2 /mnt-system/KNOPPIX/knoppix-data.img

(You may need to use a -F parameter to "force" it to use a regular file, since it normally expects block devices)

(For some reason I thought it had to be reiserfs, but ext2 seems to work. I kept formatting it as reiser and it wouldn't use it)

Also, if you don't like the messages about KNOPPIX-DATA when you boot, there's a file called "knoppix-data.inf" that you can rename. It will mount a persistent PARTITION, and since we're using a persistent FILE, we don't really need it. The error messages don't hurt anything, but if you rename that file, you won't see them anymore. You can always rename it back to the original name.

mv /mnt-system/KNOPPIX/knoppix-data.inf /mnt-system/KNOPPIX/was-knoppix-data.inf