Installing ruby to specific directory/usb
So I figured this out:

What you must do is download the ruby source, and extract it wherever. Then you have a folder named ruby-2.1.2, or something reflecting your ruby version.

Then, in terminal, cd to that directory. Then run:

./configure --prefix=/Volumes/USB_STICK_NAME/folder/to/install/into/osx_ruby
make
sudo make install


Protip: drag-n-drop the ubs-folder you want into the terminal to get the desired folder path. Much easier than writing it

That will install ruby into your usb-stick named "USB_STICK_NAME" under the folders folder/to/install/into/osx_ruby. Feel free to name it differently, but remember; The folder you select as install directory is where all the internal ruby stuff ends up,  like bin, lib. I would recommend naming that folder "osx_ruby" or something similar.

Hope someone finds this useful.