Ok, I spent some time to get the Live USB media of Debian Live 9.4.0 working. The documentation and experience is scattered around on Internet, so let’s get this here together so I can reproduce it later.
Scenario : deploy Debian Stretch 9.4.0 Live on USB stick with persistence, from Windows environment.
Source the right ISO : I got the amd 64bits edition with MATE environment, and non-free firmware. The non-free firmware was needed to get things working like in particular the Intel Wifi card.
User the right tool : Rufus was making the best installation, despite it does not provide persistence support, which need to be added after initial install.
Create the image, by using Rufus on your USB stick and selecting the ISO file you downloaded. That initial, primary, active, first permission has to be FAT32. It will take the whole space on the drive, that is OK.
Once the ISO file has been transferred/installed on the stick, time to get a tool like EPM (EaseUS Partition Manager) to resize down the primary FAT32 partition to something much smaller, like 3GB to cover your ISO image (mine was 2.2GB).
Create a new partition after this one (you can user the whole space remaining), and the under Linux Debian reformat it to « ext4 » and label it « persistence ». The persistence is NOT supported on FAT32 file, I figured that out by getting errors in kernel.log.
Then mount this newly created ext4 volume, and on the root of it, create a file named « persistence.conf » and add 2 lines (the second being an empty, blank line), the first just contains :
Close it all, reboot and select kernel option by pressing « tab » on the boot menu and adding « persistence » (without the quotes) to the boot.
The kernel should get it, and with that union on / level, you simply get full persistence of the environment.
You can happily create folders on Desktop, in your home, change your password as well install and upgrade packages, and find this back when you reboot.