If you press and drag a widget to the edge of the screen you should see the screen move and it will allow you to move widgets across different home screens.
I just tried it on my Droid and I just picked it up and dragged the widget to the edge of the screen. The home screens then switched and I was able to place the widget on the adjacent home screen.
When I try this, it just keeps popping back to the Home page. Is it possible you can't move factory installed widgets?