The JBoss Messaging guide might have some info. I just found this http://docs.jboss.org/jbossmessaging/docs/userguide-1.4.5.GA/html/installation.html#inst.mqmessagemigration but it looks like migrating just the messages.
By the way, JBoss Messaging is deprecated and is in maintainance mode (no more development). The new messaging project is HornetQ http://www.jboss.org/hornetq
Thanks for your reply.