This thread shows a few screenies on configuring an Application policy for the purpose of logging files copied to USB:
https://www-secure.symantec.com/connect/forums/log-writen-files-usb
There's also an old article on Symnatec about it, which used to contain a copy of a A&DC Policy including the "Log Files Written to USB" application rule (as below):
http://www.symantec.com/docs/TECH155578
I think they removed the policy download because such a rule was bundled into SEP at some point (RU6MP2 I think). What version are you using?
#EDIT#
Just to clarify for all those nay-sayers, please see the attached screenie from an RU6MP2 SEPM Application Control policy for the rule to "Log Files written to USB".
Within the SEPM logs, you will see logs for any files that were written to USB drives. These logs will contain the destination filename and path, plus which SEP Client (machine name) performed the writing. What you don't have, is the source file name, file shadowing capabilities and the like.
What info do you need exactly?