if you want to copy multiple layers at once, ctrl+A and then select 'copy merged', this will result in all layers that are on, copying but when pasting will be one layer. If you want to copy and transfer multiple layers, ctrl select the layers in the layers area, then right click and select 'duplicate layers' and pick the document you want them to go to, which has to also be open at the time. This will keep them all as single entities.
