@Dortje:
Thats why i wrote option 2. USB drives with 1GB+ space are very cheap, and should have more than enough space for saving the package files and configurations. Wouldnt that be a practical solution?
The idea is basically that if you've got a USB drive that large, then you are able to install pfSense directly on to the USB drive. Most motherboards support booting from USB drives, so it is likely that you will not run into a problem with that. Like Scott said, it would just be too much work to install only packages on a USB drive in the cdrom platform.