With SLAX, just make a file called modules.conf on your zip drive. Then when you shutdown SLAX should detect this file and ask you if you want to save your config. If all goes well, you will get this prompt (it's on a timer, default is no) and you can tell it to save, next time you boot, again SLAX will detect modules.conf and offer you the opportunity to load a saved configuration.
I think modules.conf has to be save in the root directory of whichever drive you put it on, eg. the first level (/). or you could place it in the modules folder and it will load itself automatically, but I'm not sure if it will be seen when shutting down.