Well, I could solve it.
You can handle this kind of trouble easily in common debian systems: only you put the missing module into /etc/modules file and system load it during boot.

Knoppix gives an opportunity to save its configuration to hard drive and load them during next boot.
The trouble is that knoppix loads the saved configuration data just before loading Xwindow files (before starting runlevel 5) so it doesn't matter I put my missing driver to /etc/modules file and save it; the system has already loaded the 'modules' file from cd or cd-mirror file when my saved data files are loaded.

Checking the possibilities I found the xsession file that can be modified and saved, even, system loads it after restoring saved data. So I modified the file putting my 'modprobe snd-sbawe' clue to one of its first lines so system load it before X starts. It proved proper at next boot: so far I have sound, volume control on tray and so on...
I suspect it is not the perfect solution but works