I burned Pinguy to a disk, and loaded the disk. If I create files, then save them, but don't install Pinguy, and then take out the disk, will those files be gone the next time I boot from the disk, or will they still be there?
If I understand correctly, you are using a live disk. Without mounting any harddrives (which is the default behavior on most live disks) everything you do is actaully just in memory (the whole directory structure you see is loaded from the disk when you've booted) and will be gone after a reboot. You can't write on the disk itself by default.