3.5 Copy and paste into another scene, lose materials?

Just updated to 3.5 today. I selected a bunch of objects, mostly prefabs, in one scene. Copied. Opened another scene and pasted.

All objects lost their materials and appear that horrific default pink color.

Is there something I’m doing wrong or is this a bug?

Edit: They are also no longer prefabs. But the scripts and other parts of the objects are still there…

Oh right, and this is on Win7.

OK, I was copying from a paused game… which I thought would work, but apparently does not.