Hi everyone.
The title of this post may sound silly, but many people are trying to make a persistent live usb for kali from windows, and many people don't want to use the ext4 filesystem for the 'persistence' partition, since it could reduce the lifetime of their USB. So here is my solution to this issue (apologise for the bad english).
I assume your USB has been formated (in fat32).
First of all, you will need to install universal USB installer . When it is done, launch it and follow the different steps to install kali linux on the USB.
Then, download and install minitool partition wizard. When it is done, launch it, select "move/resize partition" to proceed to format a new partition of your desired size to be used for persistence. Select the "ext 2" filesystem, and Label it "persistence". Then apply change (you also need to set partition as primary, buy you do not need to "set active")
Now, plug the USB stick into the computer you want to boot up. Make sure your BIOS is set to boot from your USB device. When the Kali Linux boot screen is displayed, select “Live” from the menu (this is the first choice).
Ok, the system should start. Launch the terminal, and then type (this is for kali 1.0.7):
mkdir -p /mnt/my_usb
mount /dev/sdb2 /mnt/my_usb
echo "/ union" > /mnt/my_usb/persistence.conf
umount /dev/sdb2
For earlier version, you can use this one, which is basically doing the same thing:
mkdir /mnt/usb
mount /dev/sdb2 /mnt/usb
echo "/ union" >> /mnt/usb/persistence.conf
umount /mnt/usb
Check that the peristence conf is now on your "persistence" partition. Shutdown the system. Restart the computer and launch kali linux by selecting the "live USB persistence" option in the boot menu.
You're done
Note: if you have installed an earlier version of kali linux, you'll have add the word “persistence” to the end of the boot parameter line each time you want to mount your persistent storage.