All annotations are indeed stored in the .mbp1 (for MOBI books) and .azw3(f|r) (for AZW3) files. On the Kindle Touch and newer, these will be stored in the {book_filename_minus_ext}.sdr/ folder, right next to the corresponding book file.
Assuming you move both of them together, all annotations should transfer. The filenames MUST match (except for the extensions obviously).
One thing that might trip you up is that the older devices put the annotations files in the actual documents/ folder, not in the *.sdr/ subfolders. Older/newer models look for the annotations in different places...
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