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I understand how to drag effects from one object in the window to another in the same window. I'm missing something basic on how to drag or copy effects to an object on a page that is not in the same window - where "dragging" doesn't seem like an option.
You can do it, you just have to tile your windows first. Choose Window > Arrange > Tile all vertically (or another option that allows you to see all of your documents at once). Now drag the fx icon from the Effects panel for the currently selected object into the window in which you want to apply the effect.
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You confuse the Illustrator Workflow with the InDesigin Workflow. Effects are part of Object Styles. Use them to transfer effects to several objects.
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You can do it, you just have to tile your windows first. Choose Window > Arrange > Tile all vertically (or another option that allows you to see all of your documents at once). Now drag the fx icon from the Effects panel for the currently selected object into the window in which you want to apply the effect.