Yes no need to format each time, providing you start off with a stick formatted as FAT32. In Disk Utility, click on your memory stick, and click the Erase 'tab' at the top. Now where it says Volume Format: choose MS-DOS file system, and finally click the Erase button.
As the button suggests, click Erase with delete anything that is on that drive, so best save all your stuff off there first.
This tip doesn't just work with memory sticks - any external drive will do it! One thing I've discovered though is if you have a FAT32 drive, you cannot use spotlight comments.