The config file structure is completely arbitrary. Pellmon only looks at one configuration file, whose path is given as a command line argument when pellmon is started. This is normally /etc/pellmon/pellmon.conf. That file can contain the whole configuration, or it can contain the 'configdir' directive which gives a path to additional configuration files to read. Every file with an extension of '.conf' in the 'configdir' path will be read, and if it contains subdirecories they will also be (recursively) searched for config files. When every .config file is read their contents are merged into one configuration. This means that you could split up your configuration in any way you like and the end result is exactly the same as when everything is in one file.
Long story short, to keep your old history data you copy over your old database and logfile, and make sure the configuration for the database is exactly as it was before.
If you use the new config file structure and move bits and pieces from your old config into the new files you have to make sure you end up with everything the same, then it will work. The really important sections are [rrd_ds_names], [rrd_ds_types] and [pollvalues]. A 'section' in a config file starts with the name of the section in square brackets and ends when the next section starts or when the file ends. They either all have to be exactly the same as before, or you really have to know what you are doing...