The savegames are saved according their progression beginning with slot 1:

+ Playthrough 1-The outer Graves (Slot 1)
+ Playthrough 2-Jeet's territory (Slot 2)
+ Playthrough 3-Gutgash's territory (Slot 3)
+ Playthrough 4-Pink Eye's territory (Slot 4)
+ Playthrough 5-Deep Friah's territory (Slot 5)
+ Playthrough 6-Mad Max 100% (Slot 6)

BE SURE TO MAKE A BACKUP OF YOUR OWN SAFE FILES, BEFORE YOU MOVE MINE THERE!!!!
I am not taking any responsibility of lost save files!

Move the save progress of your choice into the folders of the shown folder structure.

C: \ Users \ [Your username] \ Documents \ WB Games
for the folder "Mad Max" with the backup saves.
I don't know if they are really linked to the game and have to match the Steam savegames, but I still added them.

Steam \ userdata \ [Folder with your SteamID3]
Here comes the folder "234140", which has the actual save files.
As I said, it may be enough to just use those saves, without overwriting the backup saves in the documents.