I discovered one (the?) trick to run from HD by accident, in vain trying to boot from a HD partition.

1. Set up everything on a memory stick, including persistent directories.
2. Make a FAT32 partition of suitable size (>1.5 GB) on the harddisk.
3. Copy everything from the memory stick to that partition.
4. Delete (or rename) /knoppix directory on the stick.
5. Boot from it - if necessary through GRUB

Knoppix will look for KNOPPIX directory etc, and run from wherever that is found first. This was how I discovered it: I installed Knoppix to USB harddisk, and booted from that, only to find that Knoppix used the image from the internal harddisk instead!

I'm quite sure GRUB etc can be massaged to boot the harddisk image directly, but for now, I don't take the time to find out about it. Happy to about hear anyone's findings.

Edit:
As long as there is an image to be found somewhere on the harddisk, Knoppix will NOT load images from other devices! But it must be on a FAT32 partition.