Unfortunately, you cannot transfer messages from one Connection to another.

The Yahoo! Personals Mailbox is not like traditional email, and Connections are not true folders that you can manipulate. Think of this system as a private message board associated with personal profiles rather than as a full-featured email system.

If you would like to save a portion of your message so that you can reuse it later in other messages, copy the portion you'd like to save and then click on the "Save Text to My Snippets" link and follow the instructions shown in the pop-up window.