For many users, this is not a major concern. However, if you really need that one update for the OS or application, you are out of luck.
This changes when KNOPPIX includes unionfs (union file system) into its live CD/DVD. Now, it is possible to store a part of the file system onto a read/write media, such as a pen drive. This way, the OS gets most of its files from the CD/DVD, but certain files on a pen drive update the overall file system. This method permits some customization while requiring relatively little storage on a read/write medium.