I mean starting characters, of course, which I created for a previous module. As I understand, I can just copy/paste some files to a new module directory, but what and where?
Should be [whatever your root directory is]\Temple of Elemental Evil\modules\ToEE\players when KotB is the active directory, copy the player files within, then paste them back into the same directory after making ToEE (or whatever) the active module. I think this could be highly dangerous though, and may not work at all, since each module has had some specific rules alterations, making the characters not necessarily compatible. For example, I know Ted has some skills activated in KotB that are not in regular ToEE or Co8 mods, so attempt at your own risk.
Well, good luck. But if you start having corrupted saves or unexplained crashes/bugs etc with those characters, don't post it as a bug report for the mods - unless you can reproduce the bug in a new game with characters created in that module. If you're doing this to keep a favorite character due to lucky stat rolls or whatever, you do know there is an exploit that will allow you to get basically whatever stats you want on a character, right? You could re-create your favorites from KotB in ToEE without endangering your game.