Hmmm ... From the Wiki:
# Just have a previously formatted USB external disk (like a flash pen).
# A blank file called "xsistence-mode" on the root of the USB storage above.
I formatted USB as FAT (2 partitions) and put blank file as ext3 on the first one with Sabayon Live. That's OK, or should I try something else?
I have found only this solution (the last post at the bottom) for Gentoo, not Sabayon: http://forums.gentoo.org/viewtopic-t-882861.html
Will try some more and if it won't work I will just have to use some other Distro, I guess ...