It would be just like using a normal HDD. Partition and install as usual (to the USB drive).
1. Install but don't choose to install the bootloader. On various installers this will be in the advanced section/tab/button, or it might be a seperate installer all together. Just look for key words GRUB, LILO (only for a few), bootloader, advanced options, extra options. Do NOT install the bootloader.
2. When you reboot your computer after installing the Linux, reboot into Ubuntu (or the distro you installed GRUB too) and run:
. If your new system installed correctly, GRUB will find it and make an entry on your bootloader automagically.
If you do that you are not at risk and therefore cannot be punished (: