unless you created a separate partition on the usb stick it will not save changes as far as i know. the system treats it as a live cd where changes only saved until you restart. Search around for usb persistent changes and you will find some steps on how to configure it to allow you to save changes between reboots.
i used the following link to set up my usb. I can not post full links yett so you will need to cut and paste it.
infosecramblings.com/backtrack/backtrack-3-usb-persistent-nessus-ff3-nmap/



