There are several ways to achieve this but try this one.
1. Open both the workbook containing the sheet you want to copy and the workbook you wish to copy the sheet into.
2. Go to the sheet you want to copy or move.
3. Press F6 to cycle to the Sheet tab name - JAWS will say "Sheet Tab, TAB NAME tab".
4. Press the Applications key to display the equivalent of the right mouse click menu and arrow down until you here "Move or Copy Sheet"
5. Select this option. You will be asked to “move sheet before “ and be placed in a list of all the sheets in the workbook.
6. Press Shift+Tab to move into a combo box and JAWS will say “To Book” and the current file name will be spoken.
7. You can now arrow through the combo box and choose which file to move or copy the sheet into including to a new blank workbook.
8. Once you’ve made your choice, tab down to the “Create a coy” check box. Check this if you want to copy the sheet leaving the original untouched. Leave blank if you want to move the sheet from the current file to the new file.
9. Tab to the OK option and press Enter. The sheet will be moved or copied depending on your choice and you will be in the new file.
This is the same option to move sheets around in a workbook as well. Be careful of copying sheets with embedded links to other tabs in the file.
You can also get to this option by using the old command Alt+E M (Edit Move).
Hope this helps