I've made them for my family for Christmas 2009 and the really liked them (at least they pretended to ;-))
Check out this video:
UPDATE: Since 2011 you can buy the offical LEGO® Minifigure USB Flash Drive here. But considering the price and the looks of it, I still think it's a good idea to make them yourself.
Step 1: What you need
a very small usb flash drive (e.g. EagleTec USB Nano Flash Drive or Delock USB Nano Memory stick)
(e.g. from http://usb.brando.com/eagletec-usb-nano-flash-drive_p00892c041d15.html or ebay)
- a female Lego figure wearing a skirt
- self-hardening synthetic clay (e.g. “Apoxie® Sculpt”)
- a 2 by 2 black lego plate
- a box cutter
- a Dremel (Felt Polishing Wheel, different grinding stones, precision drills)
- a small slotted screwdriver (to apply the clay)
- sandpaper (800, 1000)
- a black permanent marker
Step 2: Modify the flash drive
Then apply the clay to secure the parts (use as little as possible), as shown in the picture. Make sure not to get any inside off the metal part.