You can do this. You need to drag the layers from the document window, and not from the layers panel. You need to wait (quite a long time) for the switch to take place.
Its not particularly intuitive, or well implemented function, because of the needless long pause. Its also not a Feature Request.
Its a function that becomes necessary only because of the poorly conceived 'tabbed windows' system. Necessary only for people that don't realise that this gunk can be switched off. Its the kind of feature that looks like it was implemented by someone with absolutely no idea how Photoshop has historically worked. ie fast. I suspect its just as stupidly implemented in CS5 as it was CS4, although I never tested it when trialing CS5.
Well if I knew the feature exists in one way or another, I wouldn't have posted it in the Feature Requests. It was because it seemed to be absent that I did.
I enjoy a tab-less experience, however I abhor how PSCS5 handles non-tabbed documents in Windows 7 taskbar. it opens a unique block for each open document you have. So if I have 20 images open as I'm slicing up a design, I have 20 Photoshop CS5 blocks at the bottom.
I don't like the Windows 7 "Taskbar Grouping" because when you click on Photoshop, it doesn't just go to Photoshop like it should, it instead opens up a menu for you to then select Photoshop (and focus it as wanted) or select an open image.
These all seem to be steps backwards...
I know this Question is old but it came up after googling and I wanted to share the solution I found as I was trying to do this as well.
Select layers to be copyied
Right click on layers
click Duplicate Layers
Select destination as what ever document you have open in PS
This works in cs5 not sure for older versions.