If I understand you correctly, this is pretty easy with script. The code below works on a viewport selection not on a Layer Explorer selection. It just clones all the object then puts them in new layers. A built in way would be to merge the max file into itself and turn off "Match Layers", but that option isn't doing…
@monster Man! you've saved yet another person, thank you sooo much. Simply amazing! It's just soo relevant and useful. In my case, I needed them as instances, so I tweaked the script just a tiny bit ( I had no prior knowledge on writing max scripts, yet it worked). I just changed the copy to instance (line 20) and it…