You need to copy the entire work directory (e.g, sonatype-work/nexus). That will get everything (data and configuration).
If you decide to use rsync to do this copy, then do you can do it in two steps to minimize downtime. First use "rsync -avP <source> <dest>". This first copy can be done while the original server is running. After it completes, shut down the server and run "rsync -avP --del <source> <dest>". This will sync up any changes that happened since the first rsync completed.
If your original system has a slow disk you man need to use "ionice -c3 rsync", this will prevent rsync from consuming all disk bandwidth.