Using Portable apps across Windows, Linux

Hi, I use Windows 7 and Ubuntu. A lot of the portable apps I'm using are cross-platform: Firefox, Thunderbird, VLC, Pidgin, Inkscape, Gnumeric and more. I would like to plug in my USB drive whether I'm running Windows or Linux, and use my apps on either.

Is there a way to do this? Would I have to have portable Linux and Windows versions side-by-side on the drive, with both accessing the same configuration files? I would really like to know how to do this. Thanks.