An easy way to get data from an existing data set into another is by using the Import Assistant. That's a one-time procedure and you cannot merge data into the Reporter after that. But if you want to copy some data from one data set to a new one you can copy and paste much of it rather than hand keying into fields.
One way to simplify adding data by hand from one data set to another is by copying off a spreadsheet and pasting into a Reporter record. First create a spreadsheet in the Reporter original data set, e.g., a Volunteer Spreadsheet:
Spreadsheets | Volunteer Spreadsheets | Volunteers
You can produce Stations and Jobs Spreadsheets as well. Or you can make custom spreadsheets with the Do-It-Yourself spreadsheets.
Then switch to the new data set. Enter new records by copying data from an open spreadsheet and pasting the data into the appropriate field in the Reporter.
In the Reporter you can copy and paste quickly by using the keyboard shortcuts Ctrl-C and Ctrl-V rather than right-clicking.