It can be done, sort of, but it's generally a mistake. See answer #2 for details. Puppy is designed to allow for this, Knoppix makes some choices that are good for a Live CD but very bad for hard disk installing. Even Klaus Knopper refers to the hard disk install script as something that "works occasionally".

The good news is that Knoppix is made from Debain. If you want a Knoppix-like system but one properly installed to hard disk and easily expandable, install Debian (I suggest doing a net-install of the testing release). You can then install any Knoppix application that you want, leave off any that you don't, and pick from many more applications in the Debian apt system as well.