Nintex does not offer copying items from one SharePoint library to another out of box. However, it is not hard to implement one yourself. You can use the copy.asmx web services to achieve this. Here are the steps below and you can download the source here

1. Create a UDA with the following parameters:

2. Call the copy.asmx service to copy the item from SouceItemUrl to DestinationItemUrl

3. If your destination document library has versioning and check-in/out turned on , you can use list.asmx to check in your file as below:

4. You need to create constant of Credential type named SP_WORKFLOW_WS as below

5. Here is how it looks like in the Workflow designer.

6. To call this UDA, you can perform the following in your workflow