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It's a good idea to ensure that Windows To Go USB drives are encrypted, as they're likely to contain sensitive documents (especially if they're in sync with a work PC). There's support for BitLocker, Microsoft's whole disk encryption technology, and you can enable it when you install Windows To Go.
There's not much else to do when creating Windows To Go workspaces. Once you've put everything in place, just click the Create button and files and drivers will be installed on your USB stick.
It takes as long to create a Windows To Go USB device as it does to install Windows — so expect to wait fifteen minutes or so (less if you're using a device connected to a USB 3.0 port). Once the process has started there's no need for user intervention, so you can carry on with other tasks.