Creating an Encrypted Disk ( Persistence ) boot for Kali Linux on thumbdrive.

Get Kali Linux first.
https://www.kali.org/downloads/

Then lets DD to our thumbdrive. ( Replace iso image and sdb for your device )
dd if=kali-linux-1.0.8-amd64.iso of=/dev/sdb bs=1M

Or you can use those windows GUI such as Win32DiskImager for the job.

To enable persistence so your work is saved between reboots ( Linux image with gparted best )
Insert bootable disk.
Run gparted.
For the thumbdrive partition, you should see /dev/sdb1 and /dev/sdb2 with an unallocated area.
Right click unallocated area and make it as a ext4 file system with label: persistence.
Add and apply.

Run the following commands:

For unencrypted partition.

mkdir -p /mnt/my_usb
mount /dev/sdb3 /mnt/my_usb
echo "/ union" > /mnt/my_usb/persistence.conf
umount /dev/sdb3

For an encrypted partition

cryptsetup --verbose --verify-passphrase luksFormat /dev/sdb3
cryptsetup luksOpen /dev/sdb3 my_usb
mkfs.ext4 -L persistence /dev/mapper/my_usb
e2label /dev/mapper/my_usb persistence
mkdir -p /mnt/my_usb
mount /dev/mapper/my_usb /mnt/my_usb
echo "/ union" > /mnt/my_usb/persistence.conf
umount /dev/mapper/my_usb
cryptsetup luksClose /dev/mapper/my_usb

Copied from: https://forums.kali.org/showthread.php?22166-Making-a-Persistent-usb-flash-drive-with-kali-linux-1-08