You seem confused.
DMToolbox doesn't transfer any files anywhere, it "massages" an .iso image into a format usable by DM, you copy the results to the hard drive when done.
Dios Mios isn't installed onto SD or USB. You copy the .wad file to SD and install it to system memory using a WAD manager, but after that, the .wad file is no longer needed.
So I have no idea what you've done or not done since what you're saying makes no sense.