Which data logging feature are you using; the internal Data Log Model (and the Trend objects) or the Data Store Plus ActiveX control ?
Do you need to move the data log file automatically when the data log is complete ?
I have done something similar by using an autorun.bat file on the USB drive that copies the datalogs from their onboard location to the USB drive. When I insert the drive, the batch file makes the copies and I remove the drive when it's done.
You could also use a pushbutton or a PLC tag to trigger the Program Launcher ActiveX to run an onboard batch file that does a similar thing.
The only method I'd be concerned about is if you want to save the data log file while the data log is still running, or automatically when it finishes. I don't know of a way to coordinate the data log segmentation (when it starts a new file after a certain number of records or time) and any sort of file copying.