Gone are the days when remote drives were easy to detect because there was some size to them. Nowadays USB drives come in all form factors. And a lot are now built to not look like drives at all. For instance, here is one my wife picked up for less than $20 which holds 4 GB:

At first glance, it just looks like something to dangle off the end of the keychain.  But upon further inspection, it's not:

To be blunt, if a security guard were checking over everything a visitor had coming into my building, I would find it very unrealistic that he or she would catch this. Which goes back to having strong IT controls for USB/flash drives. These can be delivered via GPO in a Windows environment and many corporate AV packages are now including them.