Questions about Live CD persistence (right forum?)

I have a little background with linux, but am entirely new to Knoppix. I have read the FAQ about live cd persistence, and searched the forum, but still dont get it.
If i want to add programs to the live cd, do i have to re-master it? Or would a combination of Unionfs and a persistent disk image work? Speaking of which; does the persistent disk image have to be saved to a usb stick or such, or just to the CD? The faq didnt clarify this.
any help is appreciated
thanks