My understanding is it's just a collection of files you create, so you can create them on an SD card, but as already mentioned, you can't boot from one of them, so you would need to copy the files to one to recover the device.
My intention is to do just that, we have several devices, I will create the files on MicroSD's then copy them to our desktop in folders dedicated to each device, then if and when needed I will simply copy the files (Without the folder information so they can boot) to a USB device, in my case this could either be a USB stick, or a USB with microSD adaptor.
Bob