If I just want to grab a material or a single object from another scene, seems the only way to do it is to save the current file, load up the other one, delete everything but the one object/mat you want, save that under a new name, reload your current file again, then merge.

Is there a quicker way?

Yeah, just open the scene with the single object you want.
Select the object.
Press CTRL-C to copy it to the clipboard.
Close Houdini
Open up Houdini and load the scene where you want to place the object.
Press CTRL-V to paste it into the new scene. (Mouse over network window)

Houdini supports a clipboard for every context. So you can Copy to the /obj clipboard, the /shop clipboard, etc..
The clipboard can last for days too.

I have accidentally pasted into a context and got a node I copied a while ago.