I know putting code into VSS in general is as safe as putting money into a mutual fund run by Bernard Madoff, but I don't have the luxury of ditching it for subversion.
That said, I need to be able to write code on two machines, I'm considering checking out code to a flash thumb drive.
Anyone know in advance what I should/shouldn't do to avoid loss of work? Do I need to ensure the drive letter stays the same?
Shouldn't be any different than if you checked it out to a mounted drive within the machine. As far as the OS is concerned, the thumb drive is just like your HDD, just slower.
I don't know about the specific question you're asking. I suspect that it would be fine if you kept the drive letter consistent between the two machines. I would question whether you really need to access VSS from both machines anyway.
However, if you're concerned about potential loss of work, it would make more sense to me to check in your changes when you're done working on computer A, so that you can then check out the files on computer B, and vice versa. Otherwise, the implication is that you would have un-checked-in changes on the thumb drive which could easily be lost in transit.
You should create a dedicated branch of your project so you can check-in partially complete changes without breaking anyone else's build.