ULTimate Linux EXperience is a live linux distribution which includes few other live linux distributions. While booting the user can choose which one live linux distro he wants to use.
Currently ULTEX includes:
Damn Small Linux
… as bonus you get FreeDOS
You can follow the simple instructions for setting up a bootable USB from the official website of Slax (ULTEX is based on Slax). You can create ULTEX bootable USB and now you can save all the changes you made while working with it.
The current version of ULTEX is 1.0.0.
The ISO images can be downloaded here: