Make a backup of your saves folder before you change anything!
It's located in the game's install folder.

Because what's in the save slots is tied to the SavedGameList, you need the save file itself as well as the SavedGameList in order to import a save.

1. Put the save file you want and its SavedGameList file in your save folder. (If you have a copy of yours it's fine to overwrite them).
   
2. Launch the game, and load the save you want.
   
3. Without quitting the game, copy back your original SavedGameList (and if you had to overwrite one of your saves, you can copy that back in now too.)
   
4. Save the level into a new slot.

Congratulations, you now have all your saves and the one you wanted.