Incognito Mode in Google Chrome, Microsoft IE 8... and Firefox

Though Chrome and IE8 are promoting this as an exciting NEW feature, this is something that you could do w/ FF for a while.
If you want to setup an incognito option for FF, simply follow the steps below:

Step 1
Run the following command to start the firefox profile manager.
In Linux, press Alt+F2
In Windows, press Win+R
and type: firefox -ProfileManager (also firefox.exe -P in Windows)

If you get an error like  “cannot find command” then use full path to firefox/firefox.exe in linux/Windows respectively.

Step 2
Press “Create Profile” and enter “Incognito” (or a name of your choice) as your new profile name and press “Finish”.

Step 3
Select “Incognito” profile and press “Start Firefox”.

Step 4
Go to Edit->Preferences->Privacy.  (Tools->Options->Privacy in FF3)
Select “Always clear my private data when I close Firefox” and unselect “Ask me before clearing private data”.
For additional privacy:

• Uncheck “Keep my history”
• Uncheck “Remember what I enter in forms and the search bar”
• Uncheck “Remember what I’ve downloaded”
• Choose “Keep until I close firefox” for cookies
• Press advanced settings in “Private Data”, select unselect options according to your choice. For max protection, select everything.
  
• Open a new tab, and write “about:config” (without quotes) in address bar, press enter.
  
• Search for “browser.cache.disk.enable” and set it to false
• Search for “browser.cache.offline.enable” and set it to false

Step 5
That’s it. Setup is done. Now, whenever you want to go undercover,
run the following command: firefox -P Incognito -no-remote

Note 1: You can run incognito mode and normal mode together simultaneously.

Note 2: Its advised that you put the above command in a shortcut for easy/quick access.