All settings are stored by default to Windows Registry under key [HKEY_CURRENT_USER\Software\Martin Prikryl\WinSCP 2]. You may export/import this registry key to transfer settings.
If you need to do this often, you may order WinSCP to save settings to an INI file (Preferences window). INI file is stored by default to same directory where WinSCP.exe file is. You may change path to the file using /INI=<path> command line option.

Thanks for the great product!

One question... where are the sessions stored? Is there anyway to move the stored sessions to another machine?