Use Assets : Drag and Drop : Copying Assets
   
Copying Assets
You can drag and drop a record into another drag and drop-supporting application. Dragging a record copies the asset into the target document. Dragging a record into the Windows Explorer or the OS X Finder copies the asset into the selected folder.
NOTE: It is not recommended to use drag and drop for copying a large number of files, because this may seriously impact the performance of your system and the available disk space. To copy a large number of files, use the Copy to menu command instead.
The reason for this is that both methods are handled in different ways internally. With the Copy to menu command, Cumulus creates a temporary file for each asset which is deleted as soon as the asset is copied. On the other hand, with drag and drop, temporary files of all selected assets are created before the first asset is copied, and these temporary files are not deleted until a new copy process via drag & drop is started, or Cumulus is closed.