When you are creating your new auction, check the box next to Copy over all Closed - Not Sold items from auction and use the pull down menu to select which auction to copy from. The items will automatically be copied into the Draft section of your catalog.
Please note: In order for this to work, you'll need to award all of your Not Sold item in the original auction. Otherwise, the items won't copy over. You can make sure this is done by going to your first auction and checking under Close Out > Award Items and there will be no items waiting to be awarded as NOT SOLD.