There are a lot of improvements to Remote Desktop Services in Windows Server 2012. One of those improvements is the introduction of user profile disks (which is similar to Citrix personal vDisk or VMware linked clones). User profile disks store user and application data on a single virtual disk that is dedicated to one user’s profile. User profile disks provide an easy way to store the user settings and data on a separate virtual disk that is reattached at logon, so the user data isn’t discarded when the virtual machine rolls back.
Rob Leitman has written a nice article detailing the necessary steps to get this up and going in your RDS environment. The article outlines a wizard-driven approach as well as a PowerShell method. Rob also covers the inner workings of user profile disks as well as troubleshooting methods.