Another way is to reassign the link.
After you have copied the formulas from the source spreadsheet and pasted them into your target spreadsheet, go to Edit and select Link in Excel 2003 or to Edit Links on the Data ribbon of Excel 2007 of the target spreadsheet, you will get an Edit Links dialog box.
Click on the Change Source button. Set the source to be the target spreadsheet. In essence you are pointing the spreadsheet back at itself.
Click on the Close button.
When you go back to one of the cells that has the formula pasted from the source spreadsheet, you will see that it is now pointing to the local worksheet instead of the worksheet in the source spreadsheet.
I hope this helps.