The wizard has progress indicators and the like so bcp, avoiding such, would be slightly faster. In this case faster might not be better. The OP seems to be new to the concepts so the wizard would be a good way to get the feet wet.

If the databases are on the same server then the wizard will copy the structure and the data. Even on different servers you can use linked servers with the wizard (IIRC).

Wait a sec! If the servers are linked can't you do a SELECT INTO?