highlights/notes are contained within the documents folder together with the books themselves.
They will be in the sidecar {book_filename_minus_extension}.sdr/ folder, and called {book_filename_minus_extension}.{mbp1/azw3r/azw3f}
Additionally, there is the .apnx file (pagenumbers) and .phl (public highlights) and a few others.
As long as they are moved together with the .azw3/.mobi files, your annotations/highlights etc. will transfer.