... Ah, I almost forgot: of course, a good feature request would be to make all this available directly through the GUI, as in Parallels; i.e., add also USB in the boot options of the VM settings (and also make it unnecessary to manually edit the configuration file).
Well, thinking again about the Kingston flash drives detailed before, probably the ones specific for WTG have better endurance and are better suited for repeated OS use than the others (but they are also very expensive!), who knows...
Edit: After installing Apple's Boot Camp drivers inside the WTG VM, you can also use the USB drive to boot the Mac natively: thus, in practice, Boot Camp on an external drive.
The problem is that Windows 8 doesn't seem to retain its activation status between virtual and native boot, and between different machines: that's also because Windows To Go has been thought only for corporate environments, where activation is handled differently.
Anyway, interesting to know that in essence it works, except for the activation issues outside corporate environments.