Other tutorial is quite hard to understand, so here is screenshot tutorial.
Persistent USB is the one which you can use as portable OS, You can save files on it, files will persist across multiple boots on different machines.
1. Format Pen Drive as FAT32
2. Use fdisk -l to Make sure USB is /dev/sdb
3. Copy image of Kali Linux iso into USB
This step will take few minutes, be patient.
4. Install gparted.
sudo apt-get install gparted
5.Create separate partition for for persistent data, utilizing free space left on USB drive.
i. Menu -> gparted
ii. Select disk /dev/sdb
iii. There will be some unallocated space.
iv. Right click on it New --> Label=persistence Type=ext3
v. Apply(On tool bar)
Now you will see /dev/sdb3
6. Mount /dev/sdb3 and save persistence.conf file to mark it as persistent drive.
7. All Done!!