Check out this link if you want to build a bootable USB drive with BackTrack 4 and Nessus, and maintain persistent changes.

http://www.infosecramblings.com/backtrack/backtrack-4-usbpersistent-changesnessus/

The other way you can do this (this is the way I do it) is to download the BackTrack 4 VM and use that from a fast USB stick, such as Ironkey. I’ve found that this is extremely fast and it allows to do writes. So, if you don’t want to make the stick bootable – or – you don’t want to dedicate the whole USB drive to BackTrack, then this is the method for you.