Hi,
In 7.2 (at least) what you do is open the library to which you want to copy parts. Then, in the control panel, find the part you want to copy into your open library, right click the part and select copy to library. In 7.4 it's also possible to drag/drop parts, symbols and footprints from the Control panel into the open library.

Make sure you read the release notes for the version you're using and a couple of version back (as well as the help) as they are making changes (for the better) to the library management - among other things.

/Henrik.