What you do is insert your USB drive into your USB slot, and copy your existing Keychain file over to the USB drive (in your home directory, ~/Library -> Keychain). Open up Keychain Access (/Applications -> Utilities -> Keychain Access), and go to File -> Add Keychain. Navigate to your USB drive, and select your keychain file. Once done, remove your old Keychain file from your Keychain folder, and voila, you have a removable Keychain (you might want to keep a backup of your keychain file though, just in case!).
Every time you log in, plug in your USB drive; for the best results, I usually plug it in before the computer has finished booting. The first time you use a program that accesses the Keychain, it will ask to unlock your keychain password; type the password in, and your keychain works from your USB drive.
The caveats I've discovered are this: to unplug your USB drive nicely (i.e. eject it from the desktop using the OS), you have to log out. Mind you, when I put my debugger hat on, I just unplugged the USB drive without doing it nicely all the time, and I haven't had a problem yet. Also, any programs that you have booting as a login item (like MSN messenger) will not work using the USB Keychain, because it seems the drive gets mounted after the login items are run.
I don't know if everyone will find it useful, and it's definitely not as technical as a lot of the articles I've read around here, but I've used macosxhints as a resource enough, I thought I'd contribute an idea.

