I've been thinking in the lines of some kind of "wrapper" software. You fire upp the wrapper (that resides on your usb stick) and choose the .app (ie Mail.app) from within this software and it automatically redirects all data that wants to be saved to your Library home dir to a dir on the stick. Sounds good, don't know how one'd do it though...

http://www.sandboxie.com/index.php?PortableSandbox