you were on the right track, but didn't quite understand how the rc?.d directories work - they are an old unix way of doing startup.
Knoppix is mostly setup by the knoppix-autoconfig, and not much is needed in the other runlevels like 5.

What you would want to do is place your SudoTest.sh script in /etc/init.d, then create a symlink in /etc/rc5.d of the form:
S##SudoTest where the ## is replaced by a two digit number that represents when in the startup sequence the script should run.
Make sure your script is executable ( chmod +x /etc/init.d/SudoTest.sh ),

There isn't much there on a stock knoppix as far as I recall (I'm working from a heavily changed version now, and don't have the original handy),
so you could safely use S50SudoTest. If there are other scripts, just make sure yours happens after the network is brought up the first time...

(prepend your source tree to the dirs above if not working in the chroot environment - /mnt/hda5/knx/source/KNOPPIX/ it looks like ...)