Richard Coda , Feb 29, 2004; 09:50 a.m.
First, link all the layers in the source file. Then either:
1. Copy by dragging the actual layer (not from the Layers Palette) to the new file - this will copy all linked layers
2. Make a new "Layer Set" from the linked files. This effectively puts the linked layers into a "folder" in the Layers Palette. Then you can simply drag the Layer Set over to the new file.