Using Time machine or other program to back up flash drive

Everyone seems to want to back up to a flash drive, but what about someone who is carrying around valuable files to work so he can work on them in various locations (home, lab, school computers etc) and wants to safeguard against possibly losing such a small object or some other file problem. I am missing something extremely obvious here? Time machine settings show my flash drive but does not allow me to include it in my back ups...seems strange. Thanks in advance for any advice offered.