I have the same probelem, I followed the exact steps as in How To, When I was working in X I used the Menu Edit and create a new item in the menu, but after i burned the cd it wasn't there. Something overwrited it.
Have a question. what if just before making a compressed filesystem boot from a cd, make changes and then synchronise with an unpacked system on a hard drive
Code:
sudo rsync -a /home/knoppix/ /mnt/hda2/remaster/etc/skel/
and then finish off the remastering as usual boot from run level 2, run the script and so on..
maybe it will work?