Boot to a usb flash drive

Because i couldn't stay too interested in Sabayon, I thought I'd like to install some Linux OS (I was thinking either Zenwalk or Puppy Linux) to a usb flash drive and boot to it.
My original thought was to do this through Grub on the Ubuntu partition (as I have on the MacBook and the Dell desktop).
However, I've come across this HowTo which actually allows you to boot directly from the thumbdrive (unfortunately, neither of my machines allow booting from usb devices).
I've been trying to partition the usb drive using Parted Magic but it's turning out to be surprisingly difficult.
Originally the drive had one partition (FAT32, 3.9GB). I tried to break this into to EXT3 partitions. While the first stayed as EXT3, the second became "Unknown". I've tried this over and over, but cannot get any more than one large partition, even with FAT32.
Something very strange here and the Wikipedia article mentions nothing about this.
I should mention that my usb drive DOES have a READ-WRITE switch (a real, physical SWITCH) on the side. You must turn this to RW (pushed towards the bottom of the drive) for any formatting work.