Here's one for you. It saves changes.
It's pretty easy and short.

To install BT4 Pre Final on a pen drive you can use the hard disk installer.
It's pretty basic.
1. Take an empty pen drive (this tutorial requires an 8 GB min. USB drive, for smaller look under the alternative methods)
2. Get bt4-pre-final.iso
3. Burn it with nero or whatever (use low writing speed)
4. Boot the live CD, startx and run - you may get the "Language failed with exit code 10" - don't worry just continue
5. Follow the instructions and when you get to the partitioner use 'Guided - use entire disk' and select sdb (you should have inserted your USB after the live CD booted - please do check the partitioner for your USB - it might be marked sdc, sdd ...) thnx Snakerdlk
6. Finish the rest of the steps and at step 7 choose advanced and select /dev/sdb1 for the boot loader
7. It will then perform all the necessary steps to create the USB. (Be patient - it will take some time to copy all the files from a CD to a USB)

Grub will be updated with any eventual systems you have installed but they will not be bootable (which is normal because you are booting from a USB stick), so you can simply edit the menu list (nano /boot/grub/menu.lst) and remove the fake loaders. BT will be listed as Ubuntu 8.10 (this should be obvious but I did say noob-proof).

Some tips

- you should use the login and pass that you entered during the installation
- if you switch to root before you start kde (sudo -i) you will use KDE as root (also should be obvious but again I did say N-P)
- you can use gparted if you don't like how the installer arranged your partitions

Alternative ways

1. BackTrack USB install video

Just make a boot partition of about 1.5 gigs. Then make the rest of the usb stick for everything else. That should easily cover your needs.
It is not science ( partition layouts) but really it is more like art.
thnx archangel.amael

2. Up and running BackTrack >> USB Install

This is a video using unetbootin. (Probably will fail for 4 GB USB too so use a larger one)

Thnx for the contributions!