You can actually set up a save file on your hard drive without messing up your Windows install.
Come to think of it, if your machine will boot from a thumb drive, you can use the same stick for both the operating system and the files.
The save file for Puppy can get pretty big. I was using old machines with 6 Gigabyte drives so I just saved everything on the stick. Besides that it makes it super portable. I can go up to almost any computer with my CD and/or memory stick and everything comes up with my personal settings. When I done using it the computer is left untouched. (For the REALLY old ones I have a floppy disc to get it all started )
If you've got a minute, just how do you do that? I made a bootable Ubuntu stick on a 2 GB SanDisk and cannot get at the remaining space. Given that a live CD has only 700 MB to work with, I was expecting something on the order of a little over a gig of free space to fool with but no luck.