If you use "save as .cdp" you are not going to save the assets; only the route. You also need to open the dependencies, and save all of them to .cdp.
When you import into TS2010 CM3.2, you will need to "fix" some of the content, as 2010 has stricter rules for content than 2006 did. I don't know how familiar you are with such things as .tga, .im, .pm, and texture files you are, but you will need to create some of these using PevSoft's PM2IM, Texture2TGA, and possible "quickshadows". Sometimes you will get just the yellow ! warning, which you can ignore as long as the object loads properly, but if you get the errors, then you need to fix before you can use them.
I have spent a long time fixing assets, so maybe I, and many others here can assist you in fixing what you need.
FW