You can locate your Favorites in
c:\users\<your user name>\favorites via Windows Explorer, which will allow you to select sequential sets (click first one, shift-click last one) or single, non-sequential items (ctrl-click each one you want to add to the selection). You can also use these in combination with dragging a selection square around items.
You can use these, and combinations of these, to select all the items you want and then drag-n-drop them into a target folder at the same time.
Since you're in a regular Explorer window, you also have all your various display and sort options available to make your filing task easier.