Probably how I'd do it is disable all HDDs in BIOS (or unplug them) - boot from the Install CD (obviously burn ISO to CD first). Then with your USB plugged in install to it (as you would install TKL to HDD). I would suggest that you don't use the default LVM though as sticking with plain ext FS will make recovering files much easier if your system gets corrupted... Then test it by booting from your USB (may have to adjust BIOS).

Google also has some suggestions (TKL v12 is based on Debian 6/Sqeeze). Note: I haven't tested any of these either and they are for the GUI version of Debian so YMMV
http://www.linux.com/community/blogs/133-general-linux/420179-creating-a...
http://live.debian.net/manual/2.x/html/en/
http://wiki.shellium.org/w/HOWTO_Debian_Live
http://mohan43u.wordpress.com/2010/11/04/howto-bake-persistent-live-usb-...