1) No, it will not be any faster. Swapping between memory and disk takes overhead, it will be slower. But it may let you run some large applications that you otherwise could not run, or run more applications at once.

2) If you still want to do it, you just use any partitioning tool that you are comfortable with and create a Linux swap partition. The partition tool from Microsoft will not make a non-Microsoft partition, but even some others that run under Windows like Ranish will (that's what I use). But the fisk in Knoppix should make it too (this is in theory, since I seldom use that tool and just partition with Ranish).

3) One way that it might actually seem to improve speed is if Knoppix is having to repeatedly load something off of the optical disk because memory space is tight. In that case swapping from hard disk would be faster, but I doubt that you are likely to encounter this.