In the Profile Photos album, there is no way to move a photo to a different album.... but there is a workaround of sorts.
- Click on profile photo to go to the Profile Photos album.
- Find the photo you want to move and click on it.
- Click on the link under the photo "Edit this photo"
- Then click on Move to (and choose your album)
- To do the next photo in your profile album, click on the top menu link Profile, Click on your profile pix, and repeat. (I couldn't find an easier way to do this step...)