The solution is simple, all you have to do is enter Exposé from the spaces overview, and then move the windows between spaces. Once you exit Exposé, you'll find the window will be in the exact same location on the screen it was in the previous space.
[crarko adds: I tested this, and it works as described. On my MacBook I just used the default keyboard settings of F8 to get into the Spaces overview, and then F9 to bring up Exposé in 'All windows' mode. If you've changed those key bindings, use your correct ones, or you could combine the two using this hint.]

