I have successfully made a Windows To Go Device by the steps in this Technet forum post:
Note: I used a host machine running Windows Technical Preview already to make this device, since older versions (Windows 8/8.1) of DISM don't work for imaging Windows Technical Preview Installation.
Everything works fine. The device on which Windows To Go is running is a high-speed USB 3.0 HDD, so there is no significant performance difference. However, while updating to the new build 9860, the upgrade fails stating that you can't install it to a USB Flash Drive.
Question 1) Does this problem has anything to do with the fact that I am NOT using the enterprise version of Windows Technical Preview, the only version which "technically" supports Windows To Go feature.
Question 2) My host machine (which I used to create Windows TP) has been updated to Build 9860. Should I use DISM to capture the image of this updated build and use it to image the WTG HDD device? Can I get detailed instructions on how to do this?