1) In general no, although there is a tool in some custom versions that let's you burn a persistent home onto the CD (if there is space enough for it) if the media the CD is on is a CD-RW. You can burn onto another disk if you have another cd drive/writer.

2). Yes, if it is formatted in FAT32, or if you have blank space where you can create a linux filesystem.

3). Good question. Can be dione if you remaster the CD or install the OS to a hard drive no problem.

4.) No, what you really need to do for those kind of changes is remaster the CD. There's a guide in the docs section.

Some config files can be changed while running live- anything in your /home/knoppix can be changed and the changes preserved across a reboot if you have some FAT32/ext3 hard drive space to save a persistent home or if you have a USB pen drive. Files in /etc can be changed also- you need to copy them to your home directory, edit them, then remove the original file in /etc, and then moved the edited copy into /etc. The you can restart whatever service used that config file and it *should* work. Stuff in /etc was just a shortcut in ramdisk thta points to files on the CD last time I checked....