Have you looked closely at the paths associated with the problems? Your procedure is basically right but you do need to upload the problem .pg files so they are in the same directories (relative to the new template directory) as they were in the original course's template directory. You can move files around by renaming them. That is renaming [TMPL]/foo.pg to local/foo.pg moves the file to [TMPL]/local/foo.pg
If you don't want to move the files you can edit the "path" that appears in the homework set editor so it corresponds to the new position of the .pg file relative to the template directory.
Hope this helps.
-- Mike