http://www.techspot.com/guides/809-run-linux-from-usb-drive/
This short article mainly points out a couple of tools that you might find useful.
LinuxLive USB Creator is a small app that puts together an ISO file [with an OS], a copy of VirtualBox, & a copy of the portable VirtualBox launcher. You can use the portable launcher together with V/Box files pretty much the same way you use a full version of V/Box, & with any sort of VM, Windows, *nix etc. And you can use the portable launcher together with a VM on a USB stick, [micro]SD card, external hard drive etc. LinuxLive USB Creator just makes it easier, providing you use *nix for your VM. That said, it may be entirely possible to modify the files where V/Box stores configuration data, so you could replace the *nix ISO with one for a Windows VM.
The TechSpot article recommends the Tails Linux live ISO. It's a 930 MB download, seems to work pretty well, comes with basic apps installed, & can mimic XP visually. My Windows VMs range from 15 - 24 GB -- if you're trying to run your creation from a USB stick or a USB card reader, not only can you use a lower capacity device with a *nix VM, but you'll be less limited by that USB bus, have lower memory [RAM] requirements etc. I kind of liked the idea of an OS you could hide in your wallet on a SD, or better yet microSD card, so I tried it using the Tails distro on an old, class 4 SD card -- it works surprisingly well.
YUMI is one of several apps you can use to put *nix [or another bootable os, like LiveXP] on a bootable USB device. You can use it again to add more ISO files and a boot selection menu. YUMI could be a good way to put all those rescue discs on one USB stick instead of several.