I have an existing CVS repository on a Solaris box.However I want to
merge another existing NT repository into the same Solaris repository.
The basic files from RCS can be copied at the directory level, but I
am not sure how to merge the CVSROOT directory files like history 
etc. Any pointers ?

CVSROOT is just another module in CVS Repository. You can checkout
CVSROOT and append/modify files like history and commit them to
CVSROOT module. You are correct on moving modules themselves - copy
will work.

Another solution is to move existing repository to the new server as
is and keep both repositories running on the same box. CVS Server
allows for this. (I have 4 CVS repositories on my development server)