I have just tried it and will put the step by step I am doing here.
I just plugged in my USB 4GB drive. Brought up FF, and clicked
on bookmarks, and clicked on Organize bookmarks, that brings
up another windows with Library at the top. On the top line is
"Import and Backup" click on that, and get a drop down menu. I
clicked on Export HTML, which gets another window with "Export
Bookmarks File" at the top, and Highlighted in Name: "Bookmarks.html,
if you leave that as it is the new file will be named that. Below that
name is a place to save the file, it should be you home directory.
You can select a different place by clicking on browse or click on the
directory to expand the directory listed, I choose the USB drive listed
above. Then I clicked save, and quick as a wink it was saved. You then
can verify it indeed saved it there. If you click on the file it will open
FF and display the HTML file and show you the bookmarks.
By the way if you carry your bookmarks with you in a "Jump drive"
you can always have your own bookmarks with you like at the library
or a friends PC, where ever.