Multibit : transferring coins between local wallets
You need to send the coins to an address in your second wallet.  MultiBit maintains each wallet as a separate file on disk, so there is no interaction between them.  One suggestion (which is how I handle this) is to wait until your wallet reaches a large enough amount and then make a single send request to your savings address.  This bundles multiple input transactions into a single output transaction with a single fee.