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The main reason that a 'live' session is used on a USB stick is to reduce the writing to the device, which has a limited number of writes it will sustain.
A standard 'live' session is not capable of retaining any changes.
There is then a full install, which installs to the USB stick in the same manner as it does to an internal HDD.
That has the effect of issuing lots of writes to the device which has a tendency to shorten its life.
This install can be done using the normal PCLOS installer.
There is an internediate situation, referred to as persistence.
That gives the 'live' session the ability to retain changes and to store files from one session to the next.
It requires that you boot using the 'persistence' mode each time.
Should you boot from the standard boot option then you will not see the changes that have been stored, but they are still there for the next time you boot with 'persistence'.