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I have two layer with the same smart object. If I edit the smart object, both layers are updated (nice!)
I copy these layers to another file (by dragging them)
In the new file, both smart object are unlinked! If I edit one, the other will not change.
How can I copy the smart objects to a new file so that they remain linked?
In all versions prior to the Jan 2014 update to Photoshop CC that's just the way Smart Objects work, unfortunately.
Photoshop CC, as of Jan 2014, allows you to choose between embedding and linking when creating a Smart Object. Linked S.O.'s behave just like linked files in Illustrator or InDesign. If the external (linked) file is edited and saved, all the Photoshop documents it is linked to can update accordingly. This external link is maintained when S.O.'s are copied from one document to another, so this would give you the functionality you're looking for.
To link, rather than embed, an object as a Smart Object, either hold down Alt/Option while dragging it into Photoshop or use `File > Place Linked...".
