Try it and please let us know!
You can store them on USB drives but I am not sure if this will work with
WM5/6. For example if you look at your phone's connection settings there
are options for how the phone should connect: ActiveSync, Modem, Mass
storage. By default the phones are setup to do ActiveSync and the storage
is done through AS and I am not sure if OneNote will sycn correctly through
this. If you change the phone to just be a mass storage this should behave
just like a USB drive and it should work just fine. It is a pain to change
this on the phone all of the time though.
Please just give it a try on some test sections and please let us know what
worked for you.