So, apparently, due to compatibility in file formats, you can move character files from Curse of the Azure Bonds to Gateway to the Savage Frontier, and Pools of Darkness to Treasures of the Savage Frontier, and they will be recognized. You can even do the reverse, though some of the new items for the Savage Frontier games get messed up.

The high-level spells are even recognized; you can drop a Delayed Blast Fireball on Geildarr's men at the beginning of the game.

Have fun!

Hillsfar, despite having different gameplay, can act as a halfway point between Curse and Gateway.

I've read about people having trouble with this - in at least one of the games, you have to remove a character from your party, resulting in a separate character file you can transfer.