For Amazon bought books you have to download them again from the Amazon Cloud, you can't transfer from one device to another.
For your own books you have two options, you can sideload them via Calibre and a USB lead or you can send them to your Amazon account and download them via the cloud, the same as the Amazon books. Thats the best option if you are likely to want to readthe same book on multiple devices as Whispersync will keep the pages in sync. If you sideload via the USB lead you would need to do that for each device.
I use Send to Kindle for my non Amazon books which is software i download onto my pc and use to email the books to Amazon and they appear on the device i select in Send to Kindle automatically
http://www.amazon.com/gp/sendtokindle