<p>We were working on a design, and for that we created the skeleton of the classes in our main branch.  Now, we are starting to code, and for that we got a new branch.  So, it would be nice if I can move all the new files in the main branch into the new branch.  However, I cannot check them in yet.  So, is it possible to integrate the checked out changelist?  Thanks.</p>

I never found a way to do that within perforce, but you can at least partially automate it.
Usually when I had to do something like that I'd check out the files in the branch I want to move things to, then use
WinMerge
to diff the branches and copy the changes over.  Once that's done you can revert the changes in the original branch and check them in in the new branch.
It's not the best solution (no automatic checkout/add/delete of files on the new branch), but was the fastest method I came up with.