Well, I feel a bit lazy and stupid. Thanks, L2Cache and paradocs, for guiding me straight.

In case it helps someone else:

The console command for saving your configuration is "saveconfig", and the console command for making a persistent home is "mkpersistenthome".

Note also that, at Knoppix boot, your existing saved configuration trumps your boottime cheatcode. If you already have a configuration saved via the KDE menu shortcut, typing "desktop=icewm" won't get you to icewm. Delete the existing configs.tbz and knoppix.sh and start again; save your preferred window manager in a console session with "saveconfig".

Thanks again for the help!