Can widgets with settings be moved from one launcher to another?
As you mention GO Launcher EX as your target launcher, you are lucky: There's a complete description on how to migrate your screens, which you can find at AddictiveTips.

Basically, this involves an app called Desk Migrate, which claims to copy home screens from one launcher to another launcher. According to the linked article, it seems do do a nice job. Just one thing to keep in mind:


  Desk Migrate has been developed to work only with GO Launcher EX and supports copying from only a handful of launchers.


OK, another lucky point for you: Looks like ADW.Launcher was one of the 7 launchers the addictives successfully tested to migrate from -- lucky you!