Another method is just pick something on the desired layer, Ctl+Shift+C. (Copy with Basepoint) Pick a base point. Switch to your drawing without the layer, Ctl+V (Paste) then just pick a place to put the object. then you can either keep or delete the object. Layer is now in your drawing.
This is kind of a down and dirty approach.
It works, just know what you are copying.
If you select just a simple object you are doing great.
If you select a block, you will end up copying that block to your drawing as well.
If your source drawing has corruption, this method can easily copy some corruption.
The Design Center (Ctl+2 shortcut to luanch) As @john.vellek proposed is probably the cleanest method other than manually creating the layer in your new drawing.
Good Luck,