There is a more difficult solution, that is a bit more efficient. But it requires a good knowledge of scripting, and other more in-depth procedures.
Use an external install-maker, instead of RMXP's. One that supports making and reading registry entries. Have it register a key for the installation directory of each episode.
Now, RMXP games are usually quite lightweight and get moved around a lot. So we'll need to update that entry.
There are registry scripts for RMXP, I know I found one at 66RPG.com, if there isn't one here somewhere.
Use the said registry script to update that registry key for the game's location every time it's run.
Now for the second game. First we need to get those files.
This game, on first run, or on creating a new game (whichever works for your purpose), should use the registry script to copy the old save to the new directory. You may need FileUtils for this, which is freely available (just search this board or Google for links). You will probably want to rename this save to SaveX.rxdata or something to prevent overwriting.
Once you have the old file, you could simply use it as is. In order to do that, all original database entries need to stay the same, and you need to have the same number of maps or better (they don't need to be the same maps, since you can always do an immediate player transfer. But if you don't have enough maps, you can run into an invalid error.). This is inefficient, and unpractical except for its ease of use.
This step is a little bit tricker. Simply load the file, then override the players position with script immediately. Scripts work much faster for this step. Analyze the party's inventory. For example, if metal hammer had id 13, and now it has id 19, and the party has a weapon with id 13, simply remove 13 from the party and add the weapon 19. Rinse and repeat for skills, etc. Simply remove items you don't want transferred. A nice touch would be to artificially "sell" those items, giving the party some extra starting gold equivalent to the value of lost items (or half that value, for a true sold price). Just a thought. Proceed to read and alter all the data that needs to be, well, altered.
A lot of work, yes. Quite a bit. But in the end, it's a more efficient solution.
Oh, I forgot a sidenote in there. When you go to find the old savegame directory, you will need to know your current directory, which can be accomplished through 2 API calls. You will also need a solution in the event that the save never existed. For this, you could simply move on to blank data, or offer them a directory selection tree and ask them to locate the folder themselves.
[EDIT: I was retarded here. Your install maker for your new game would have saved this path to registry as well. No need for API.]
You will also want to make them select a slot (1, 2, or 3 for example. Number input if you used an unlimited saves script.) to be loaded.
[EDIT: Forgot another sidenote. In the event that the first game isn't installed, or there's no registry key, or the registry key is invalid, you could offer them a directory tree, or simply bypass this option altogether. Should be pretty obvious, but wanted to state it anyway.]
If someone has a completed game, and wants help transferring data for the new game, let me know. The first game would have to be pretty much completed, though, as I'm really really busy these days.
[EDIT: Alternative solution]
Another common alternative to this is a password system. There are a number of ways to implement a password system, the most basic would be to have a single character for each critical item and event from the previous game, as well as characters for actor data. There would be a security string spread out through this password that should be conditional, but only have a couple of useable combinations to increase security.
For example, if you want to transfer the Mythril swords, Iron Clubs, and wether or not Maya survived in the first game, the password may look something like this:
2472011522 - Password 1
0103020006 - Password 2
SSXXIIMMXX - Legend
SS = Number of Mythril Swords
XX = Security code (in this case, SS x 3)
II = Number of Iron Clubs
MM = Level for Maya if she survived, 00 means she didn't
XX = Security code (in this case, break down all previous values to single characters and add their values for a total)
Naturally, that password is extremely lightweight. You'd need something a bit heavier.
To transfer gold, you'd probably need high and low bytes for it (if you're parsing in two-character sets). Something like:
AABBCC (which for example could be 14 25 32 for 142,532 gold
To accomplish this, for those not familiar with such operations, is nothing difficult.
First, add CC gold to the party.
For BB, multiply it by one hundred.
For AA, multiply it by ten thousand.
[End alternative]
[Edit] Also, keep in mind that you may want to transfer a few extra details you aren't using in the next installment, because you may decide to implement them in a later episode, and it would be wise to carry forward through the episodes rather than hoping to track down all episodes installed.]
Hope it helps.
[EDIT: This solution is a more advanced and controllable way to do this, not the easy way. Just thought it deserved to be on the table as well.]