Ubuntu on USB that can save settings and files in the same usb

Recently I installed Ubuntu 12.04 on my Sandisk cruzer 4gb usb.. So i used it to browse on internet then i tried to play some flash-base games. So i downloaded adobe flash player then play some games then after an hour i turn off my computer. When I get back to it I notice that all the things I did last time didnt save even the wallpapers etc. Is there a way to save on this live usb? Sorry for bad english
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More about ubuntu save settings files
  1. It's called "persistent" or "persistence". There are some how-tos on the net. This link may also be helpful: http://www.pendrivelinux.com/universal-usb-installer-easy-as-1-2-3/

    Using UUI you should be able to install a persistent Ubuntu 12.04 on USB.
  2. I followed the instruction there and it works. Hey thanks :)
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