Watcher's Keep is a complete bridge to both games. It's why you can store things in SoA and have them still there in ToB. Note that the game automatically takes you into ToB at the end of SoA, which means that all of the appropriate quest variables are still active.

Thanks for the quick reply, especially to someone who is probably not your favorite person. :D I didn't know you could store things in SoA and retrieve them in ToB either. Seems I'm always learning something new about these games. I love them so much.

Does this still apply if you choose the "Import Game" option from the Throne of Bhaal main menu? (I believe this option is where the Tutorial option would be if starting Shadows of Amn.)

I don't hold grudges. :)

Oh, regarding storage, be aware that containers and quest items do *not* transfer on your characters' person, so if you have a bag of holding or other bags, for example, store them in a container inside Watcher's Keep and you'll have your stuff minus the aforementioned.
Regarding stuff in your inventory (minus containers) yes, regarding quest status and variables, no. Importing is essentially a new ToB game with extra items and stats.

Hmm, actually, now that you mention it, I may be mistaken about that -- it's been a very long time since I played ToB, and for some reason I have this recollection of storing bags inside Watcher's Keep before the final in SoA. I don't have save near enough to the end of SoA to check either. If I'm mistaken let me apologise now.

One thing I should point out:

There are 3 ways to do the transfer to Throne of Bhaal.

1. Complete Shadows of Amn. This transfers your entire party, I believe including one particular character you aren't supposed to have at that point.

2. Use the "Import Game" option from Throne of Bhaal's main menu. This transfers your entire party, except that that one character you aren't supposed to have in ToB does not make the transfer. (Note, however, that the tutorial party can be transferred this way.)

3. Use "New Game" from ToB's main menu, then import your Shadows of Amn character. This transfers only your main character; the rest of the party does not make the transfer.

Note that these methods are *different* and behave differently.

The question I was asking is, if you use method number 2, is the state of Watcher's Keep preserverd? (I know it is with #1, and I believe it is not with #3, but I don't know about #2.)

All items and quest variables are preserved, so Watcher's Keep will also be preserved.

You can max out your character before leaving Athkala. With the right build the game becomes too easy even soloing.