I kinda Had to with my Atom device, but so long as the SD is of sufficient class, then it should be quite portable. The only downside is that if you go from one device to another, then the registry information may change. Oh and make sure you're assigning the SD card the same drive letter on all devices to avoid breaking links (just in case, not tested).
As a pseudo test, I copied the CoX folder from my desktop to that machine initially, ran the Tequila installer (pointed to the folder), and the only thing I had to change was the display settings. Oddly enough, when I went Back to my desktop the display settings were the Same as that of the Atom device, so I made an educated guess that somehow the server is storing some of this data.