I have recently started using DesktopManager (an open-source virtual desktop application) as my new desktop manager. It is extremely fast at switching, and is very light on the resources. One problem with it is that it is still lacking in one feature that is really important: Moving currently opened windows to a different desktop. Here is the trick I use to move them.
Go to the desktop with the app you want to move. Once there, hide the application's windows. Switch to the desktop you want it on. Click on the icon in the dock and show all the windows. Voila! It has moved!
Mac OS X Hints
http://hints.macworld.com/article.php?story=2003092610395629