The user can have either a local profile, i,e saved on the terminal server or a Terminal services profile. the TS profile path could be specified in the users properties, Remote tab.
It is not advisable to use a roaming profile for both the desktop that the user logs into and the terminal server, the reson is that you would see inconsistencies in the profile. Lets assume that a user has a roaming profile and no TS profile is specified, the user would login to his desktop and get the romaing profile, lets say he then logs into the terminal server, the same profile is loaded, then the user makes some changes on the TS and logs off. then he makes changes to the desktop profile, the changes made on the desktop will be saved, the last writer wins!!
How to move the local profiles on the terminal server to a New TS:
use Robocopy to copy the profiles, you would also need to export the profile Guid and the profile list from the TS where the profiles are to the TS where you neeed to move these profiles.
the Reg path would be HKLM\software\Microsoft\windowsNT\currentversion.
also donot copy the all user, administrator, default user profile folder, only the users profiles would do.