Sometimes you just learn those shortcuts that are so ingenious and natural that you should have known it before.
I'm sure many know this but I didn't. And it simplifies my life a lot. I use remote desktop quite a lot during my day. The test servers, build server and the music server in the war room. As well as my backup server at home.
If you want to move data just use the normal copy/paste commands (ctrl-c/ctrl-v) from the local machine onto the folder of the remote desktop. It works like a charm, so smooth and simple.
One reason that it's missed is probably that there is one thing that don't work here and that's normal drag and drop. If that were in place it would be more obvious that it works like this.
By the way, the music server is just an ordinary XP machine that we copy the music we want to share in the team onto and then random play from that list. Also we added CC tray to get audio feedback from our builds.