Joma, I'm guessing your destination directory is on a vfat or ntfs filesystem? Don't think that will work, probably what the 'not permitted' means. Those filesystems don't know anything about symbolic links.
Unless your xxx.lzm file is really large you can probably do it inside slax.
In short, I think to put it more accurately, if you want compatibility with OS X, Windows, and almost any other OS, use FAT. But... you will need to use a slax.dat container for that--not the changes folder. I think you can see that using the changes folder is risky, because data can get corrupted easily.
If you follow unnamed's advice and use ext2/3, only Linux systems will see it. But, you won't be as likely to lose anything because it will be more stable.
Now to answer your question directly, to decompress modules, you'll need to do that on an ext filesystem. Period. FAT does not understand Linux permissions, and decompressing will either fail miserably or otherwise when you rebuild it on FAT, permissions will be goofy and something won't work.