Hi Dennis,
With rekordbox, you would have imported the music to your collection from the source (whether it's on your internal hard drive or on a USB drive), then when you add hot cues (in rekordbox), they'll be added to the database. The hot cues are not stored on the songs themselves.
If you had already exported that song from your collection to a USB device, but added the hot cues later, simply re-export the song and now when you connect that USB drive to a player, the hot cues will be available.