To make sure I am understanding what you did, you have Ubuntu on a bootable flash drive, you boot it and select Install and install it to another flash drive. You then boot the second flash drive and install VBox on it and xp in VBox, correct?
How did you create the bootable flash drive, what program did you use? If you used the Ubuntu usb-creator you should have been able to select a size for persistence which would save settings. I believe Unetbootin also has this option.