it is possible - just use tazlito frugal-install instead the installer

http://hg.slitaz.org/tazlito/raw-file/tip/doc/tazlito.en.html

I see, thanks for the link. Can persistence be set up as well??

@avamk
Can you have a full install of slitaz and pass an option at boot to load the entire os into ram as if you were running a frugal install ?
No,but you could have a live install nested inside of a full install.
Don't see the point as they are not sharing root filesystems.You could share /home but all programs would have to be installed to each individually.
Check the documentation for tazusb for an explanation of a frugal install with persistance.You can use the tazusb to install to a hard drive partition. After you add home=/dev/sdxx , /dev/hdxx, or UUID to grub kernel line option to tazusb writefs is available to compress/save your filesystem in memory to disk prior to shutdown thereby saving installed programs.