if your other file is open, once you’ve shift-clicked the layers you want to copy you can drag them straight to the other open file.
in addition, if the layers you want to drag to the other file are already linked (with the paper clip icon), you can use the move tool to drag them straight to the other open file without having to selecting each layer… note, you must drag from the window, not the layers palette in this case.
you should also be able to group the layers into a layer set and drag that set to the other open file as well.