It's actually very simple. Open the project which already has the wall. With the wall shape window open, right click and select Copy > Shape and Materials.
Open your other project, add a new wall*, and right click again, choosing Paste > Shape and Cross Section.
*You might be able to paste it onto an existing wall, but you might first have to reduce the number of materials: I tried with a wall with 2 materials and I couldn't paste until I removed one of them.