Hello Marc Andre
here are two different approaches.
From within Merlin Project you may save your project as a template
File > Save as Template...
Using that template as base for a new project will also contain the original calendar(s) as well as the exceptions.
If you already use an existing project file and try to add an existing calendar including exceptions from another project, you may use from Settings > Calendars the tool icon (red marker within the screenshot):
Export within project file containing the calendar and exception data
Import .mprojectc file within other project file(s)