Actually, the "save Knoppix configuration" option isn't terribly useful unless there's some sort of hardware you have that Knoppix doesn't auto-configure for you correctly when it boots up, and you have to configure it manually.

For example, there's this old computer I have whose graphics card doesn't play well with X Windows' "GLX" module. So, after manually editing /etc/X11/XF86Config-4 -- X Windows' configuration file -- I can save my Knoppix configuration, and then not have to do it again the next time I boot off the live CD.

But if your hardware runs fine after booting off the Knoppix CD, there's really no need to do that.

Creating a persistent home directory is a lot more useful, because a) all your KDE configuration settings will be kept from session to session; b) you can actually store files on it; and c) you can use "Klik" (see the Klik Forum section for more info) to install programs (there's also a small selection of programs available on the Knoppix menu). Even better, you can create a persistent home directory on a USB thumbdrive, and take Knoppix and your files with you from computer to computer.

On the other hand, the only way to get a sense of Knoppix's speed is to install it to your hard drive. Running off the CD definitely slows it down.

P.S. My opinion: If you like the GNOME desktop, you'll like Fedora Core. But if you like KDE better (it's what Knoppix defaults to), Fedora Core will highly exasperate you. And in any case, the Debian package management system is way better than the Red Hat Package Manager.