After a number of unsuccessful attempts to get dban on a USB stick using unetbootin, I found the Universal USB Installer instead. This appears to do a better job, making a bootable installation from the latest preview build of dban.
It helps to remove the USB stick after boot, during the “Waiting for USB devices to register” stage. This is an issue with how dban recognises mass storage on some motherboards, rather than a problem with the USB boot. Unfortunately it doesn’t work properly in WINE right now, presumably because it can’t find the right drives.
Further instructions are available on the pendrivelinux.com homepage, but it is simple enough that you wont need them.