So to "steal" the title of another very helpful blog post, thats very mature, huh?
No actually I'm in the middle of doing it, so I thought if I link to the post it will get better ratings on google. So here it is: http://h0bbel.p0ggel.org/installing-debian-from-a-usb-stick
Just one note about it. When using dd for windows - at least on my Windows 7 laptop - don't have your explorer(the file browser thingy) open, it "locks" the usb device, So before starting close Explorer windows and happy copying.