I think the pushpin.MoveTo method is what you need:

EITHER

Create a pushpin data set to the current map:
oMap.DataSets.AddPushpinSet "MyNewSet"

create a pushpin:
Set oPushPin = oMap.AddPushpin(loc, "PushPin Name")

move the push pin into the dataset:
oPushPin.MoveTo oMap.DataSets("MyNewSet")

OR (if pins already in DS):

for each obj in omap.datasets(<sourcedataset>)
if typename(obj) = "Pushpin" then
obj.moveto dataset(<destinationdataset>)
end if
next

HTH.

M.