Building a custom kernel for a Knoppix HD install is same procedure as building a kernel in Debian.
Well, if this is true then the debian kernels should work normally ?

Strictly speaking, Knoppix on hard disk is not a pure Debian system. The Debian kernels never work on my machine, mostly likely due to certain kernel options incompatible with the Knoppix init process.
Anyway, it will probably be some time before I really dare to change it.