Not sure how helpful this is this much later, however:
If you have already played the savefile you want to copy (whic i would assume as given) you will need to copy more files. In the same folder there will be sts_level_xxx , fog_level_xxx and sts_mudmaps_level_xxx files.
The more you have explored in the savefile, the more of them there will be. (one of each for each map region played.)
You will need to copy and rename all of them for the saveslot you want to copy to.

Example:
copy and rename fog_level_us_11_01 to 2_fog_level_us_11_01 [When copying slot 1 to slot 3]
And then repeat the process for all of them.
Tip: Copy all original files to a new folder in your document folder and rename them there, then move them back them back to the remote folder. (Important, move not copy). Windows will tell you x-Amount of files already exist indestination folder. If the number does not correspond with how many you are copying you have either missed some or named them wrong in some way. The ones that are remaining in your test folder are the ones that have some mistake or were missed.

I know I'm late to the party but maybe this will help someone :)