One of the Pros of using a TDS server is that it allows for the distribution of configurations which include entities as well as the icons associated with them. You can read more about it on the Paired Configuration page. Alternatively if you are not using a TDS or wish to simply share your entities with another Maltego client you can following the exporting guide below.
First setup your Maltego with the various entities you would like to export. Once you have completed this you can export your config by selecting the globe icon (Application Icon) and then selecting export configuration as seen below:
You can select either a custom export or to export everything (as seen above). From here you can simply click next, next, finished as described by the following pictures:
Heads up! In this example we have exported everything, however if you only want to export entities please remember to select both entities and icons.