Well, the "best" way to go is to build yourself a quick SSIS (or DTS in 2000) package to do this. It will be WAY faster than anything you can do in a script with a linked server. But if you have linked servers, yoiu can just write normal statements:
insert into dbname.dbo.orders
It will be a bit slow, but if it isn't much data it will be fine. But definitely use SSIS if you can. It is much cooler and you can see how long it will take, it will use bulk insert mode and go a lot faster.