You plug it in, and look through all the folders in the PS3's menu. I've transferred data before, and, though I can't remember which specific menu option it was, I remember being suprised when I saw it.
It's in a subfolder, I believe.
Offish-topic: I've begun a new run through GT2 myself this weekend, and I currently have a Spoon S2000, a Dodge Concept Car, and a 3000GT LM (my first ever!). On day 4. Get it? I'm mega-proud that I did I-C license! I can't remember what held me back before, but apparently I've never gotten it. For all I hear about the 3000GT LM being powerful, the hp number looks rather low. I'll see.
EDIT: Make that Day 5, and add a Del Sol to the mix. I'm probably too proud, but this rocks!