Or, select the layer in the source document, then in the fly-out menu of the layers palette, choose 'Duplicate Layer'.
In the resulting dialogue box, choose the Destination file from the drop down list. You can also rename the moving layer at this point. Click OK, job done.
Sounds a lot more complicated than Kwill's method🙄, but I guess this way if you had lots of images open it might help target the destination image more easily. And there's no harm in finding out the long way round.