From the console:

1. Go to the preset
2. Press 'Save' once
3. Use the first rotary controller to choose which setlist you want to save the preset in
4. Use the second rotary controller to choose the slot that you want to save the preset to
5. Press save again.

From HD Edit

1. Change to the Set Lists tab
2. Click on the preset once to select it
3. Click and drag the preset across setlists  to it's new save slot. 

In each case this copies the preset.  In the HD Edit version you can move the preset by holding down the shift key when you do step 3.