For some reason SQL Server doesn't have an easy way to "Create TO" for database diagrams, unlike stored procedures, functions ,etc.
Here is how you can achieve moving a database diagram (or copying a database diagram) in SQL Server 2005
use Old_Database
go
--this will copy your database diagrams into a temporary table
select * into dbo.#tempsysdiagrams from sysdiagrams
use New_Database
go
insert into sysdiagrams ([name],principal_id,version,definition)
select [name],principal_id,version,definition from dbo.#tempsysdiagrams where [name]='Name_of_your_Diagram'
That's it, so easy.