When you start a download on Xbox Live from your console it will automatically download to the HDD(Hard drive). If there is no space on the drive, it allows you to choose a different storage device, providing there is space.
So, where's the option to download to USB from the beginning?
Basically, I have a game on my USB. Inserting the USB brings up the game as a trial. So, I have to re-download the game from the marketplace. Although, instead of ipdating the USB, it will download to the HDD. If I place another download ahead of it, it should give me an option to download to a different device if there's space. Or if there isn't enough space on the HDD it will give me an option. So, there isn't an option to select a device first. Meaning, I have to clear space on the HDD, copy to the HDD from the USB, click download again. It will go from 1%-100% immediatly. Copy back to USB.