Short answer: yes. Use the tool on the Knoppix menu to create a "persistent disk image," then use the cheatcode "home=/mnt/hda2/knoppix.img" (or whatever) to tell Knoppix about it at the "boot:" prompt.

It seems to be buggy, though. Every time I install something that adds an icon to the K menu, the kicker bar crashes and Knoppix won't cleanly unmount the image. (It runs fsck on it on next boot.)