It's easy to install SL to a pen drive by using UNetbootin under Windows or Linux: Re: UNetbootin Supporting Sabayon
1. Download the SL 5.0 KDE or GNOME ISO to your HDD.
2. Install SL to a pen drive as described in the above-mentioned thread.
3. Leave your pen drive plugged in and reboot your PC, pressing F2 (or whatever the special key is) during booting in order to display the BIOS configuration page.
4. Configure your PC's BIOS to boot from a USB port, save the change and allow the PC to boot SL from the pen drive. See the SL Wiki (link at top right of this page) Introduction article for a visual tour of the boot process for a LiveDVD/pen drive.
5. Launch the SL Installer from the Desktop.
6. Click on the Update Installer button to make sure that the installer is updated to the latest version via the Internet.
7. Go through the interactive installation process using the Installer GUI (see the SL Wiki articles with visual guides to installation: Taking a Tour
8. Reboot and change your BIOS back to booting from your HDD as the first choice.
9. Boot into SL on your HDD.