SLAX has a great forum for this... I would suggest a so called, (poormans) install on your memory stick and use the CD just for booting then you would not have to install a bootloader and it would free up your CD... I did this on an HD but not on a memory stick so the boot cheatcodes will be different...
http://slax.linux-live.org/forum/sea...p?mode=results
If you copied all the files to a directory SLAX on your USB then you could use the boot code:
slax fromhd=/mnt/sda1 livecd_subdir=SLAX
This worked for me but that was an older version so I don't know if version 5 boot codes have changed...
KC