If your talking about things like your pics and stuff, just hook you wildfire to your computer, and drag the files you want off of it to your computer. Then connect your Desire and drag the files from your computer over to your Desire SD.
If you have a gmail account, then you contacts should automatically restore when you connect your new device. Also, you can usually make a manual backup of your contacts from within what ever contact app you use. If you click the menu key while in contacts, there should be an option to export your contacts to your Sd. Once saved there, they can be dragged to your computer.
You may have to go to the website of the manufacturer to get the files needed for your phone to be recognized on your computer.
If your talking about apps and such, those can't just be swapped around. If you don't want to have to re-download them, then you need an app like Titanium Backup. Your phone will have to be rooted to get the most use out of Titanium Backup. Some file managers like Super Manager have backup utilities in them as well. Once you back up an app, its stored to your SD card. Then you can approach this like you would your pics and things.
If your next question is "What is root?", I'll direct you to the sub forums of your devices.
HTC Wildfire - Android Forums
HTC Desire Z - Android Forums
Good luck, hope this helps.