OS X on USB drive

Is it possible to create a boot menu which includes Mac OS X on a permanently connected USB drive?

After starting my computer, if I press F12 to bring up the BIOS boot menu and choose the USB drive I can boot to Mountain Lion without problems.

Using EasyBCD there appears to be 2 options for OS X (EFI and MBR) but neither work for me.

Am I doing something wrong or is it just not possible?