No, there is no easy way to get all those tools installed easily on another distro, no. Since most distros won't have packages for most of them, either, it will mean compiling from source for the most part. However, I would say especially if you are looking for a security toolkit, take that list of tools you want build your own system. The security tools change so often - much more often than any live CD distro is going to be updated - so you'll end up doing this anyway if you want them to stay current. No live CD distro will ever keep you on the bleeding edge, where you really ought to be for such purposes.
Don't get me wrong, a live CD's serve their purposes, but their main advantage is portability. If you are going to be lugging a laptop around, I'd still suggest going with another distro and build to suit your needs. I actually did the same thing, based on the tools on the auditor CD, as it is a pretty comprehensive list of those that are available on Linux. However, I also found that many were either completely redundant, or never used.
It should also be pointed out that while Auditor is based off of Knoppix, it really isn't the Knoppix distro.