If you want to export certain songs to another database, perhaps to make backup copies, or to build a customized database, select Edit:Export:Songs to other database. The songs currently selected in the library will be duplicated into the selected folder.
You can also move or copy songs outside of the program. Each song is stored in a separate file with the extension *.sng. You can move or copy song files between their folders; when you next start the program the library will be rebuilt with whatever songs exist in the database folder.
Make sure Worship LIVE! is not running when you do this; you may confuse the program and cause errors while trying to use a moved or deleted song.