Instead of copy and pasting the whole worksheet into a new file, try right
clicking on the tab name and selecting "Move or Copy".  when the window opens
pick the name of the file you want the worksheet to go to in the first drop
down box, tell it in what order you want it to appear in the new worksheet
and finally check the Make a COPY box at the bottom.  If you forget the last
part, it'll move the original worksheet instead of making a copy of it.

Hope this helps.