Here’s a description on how to create a “Help me! I’m lost”-message for your USB memory drive. Windows only.
Instead of (or in addition to) having a README.txt file in the root of the USB thumb device, why not have a popup that informs the user to please return the drive to its rightful owner with the promise that the finder will be bought a brand new USB drive of twice the size? And combine it with a bunch of other OS tricks to make sure that the finder will not miss the message?