I read that Second Life keeps all its files in the one program folder when installed on a pc.
So I took the batch script suggested by The Travelin' Librarian (http://www.travelinlibrarian.info/2007/01/second-life-portable.html), modified it to run silently by removing the pauses and then compiled it as a ghost exe.
I then created a folder on my usb stick into which I put this ghost exe and a copy of the Second Life program folder installed on my pc.
This seems to work tolerably well on my usb stick with the ghost exe running as an executable front end which launches Second Life.
You can download this launcher for SL here: http://rapidshare.com/files/142040919/SLauncher.exe or here: http://www.mediafire.com/?jwmmyaupwws
You need to change where Second Life saves its cache and message log, but you can do that manually in Edit>Preferences.
Btw the best way of using stuff on my usb stick I've found is the portableapps.com platform.
Comments would be appreciated!