What you are looking for is the persistent home off the knoppix menu in KDE. The how to is a little out of date.

You just follow the instructions in the program that creates the persistent home it is pretty simple to do (you can not save to ntfs drive). When you boot from the CD after saving you use the cheat code knoppix home=/dev/hd?? where ??=hd and partition number to use your saved configuration there are other codes you might want to use also.