You can indeed write to available space on the CD this way, but there are a few things you should know: First there isn't much space left on a Knoppix CD, likely not even enough for a second session, and second we are talking about just writing a second session on an un-finalized disc, not packet writting (as is sometimes done on CDRWs and evn occasinally on CDRs). So for Knoppix this isn't likely to help much, but I have taken smaller Live CD distros like DSL and burnt that to the first session, then used that CD to boot and burn files to the second session on the same disc.

I don't know if you'll be able to do it with a DVD or not, I've not had good luck myself with multi-session DVDs, but I may not know all the issues there and you certainly may have better results than I.

You might also want to look at Puppy Linux, which has features designed to do just this.