Live CD

Download the Live CD image (Created by Lucio Lastra)

Live USB

Download the Live CD zip image.
Inside the zip there are two directories: "boot" and "SAGE".
Copy these directories to your USB drive. Inside "boot" there are these two files: bootinst.sh and bootinst.bat
Run the one according to your platform. Make sure you are running these scripts inside your mounted USB partition. It will ask you to confirm the location.
After a few seconds you should be able to boot with your USB drive.

Virtual Appliance

The Live CD image can also be used inside VMware.

Download the VMware files for the iso from here.
Unzip the file.
Put the iso image inside the unzipped directory.
With VMware player search and execute SageCD.vmx.

For QEMU users

Run qemu -cdrom sage-version.iso -m 512