Following to How To from Kali's doc, I couldn't obtain a FAT32 Partition. Under Windows you can use Rufus (http://rufus.akeo.ie/).
Just let's the setting by default, select Create a bootable disk using : iso (select the kali's iso) and Start.
It will format your USB disk and create one partition using all the space of your USB disk. You will have to resize the partition if you don't want to waste space and create a persistence partition.
Then you can jump to the step 2 of bofh28's How To.
BTW thanks to the How To ! It works perfectly with my MacBook Pro Retina.
