You can drag and drop from illustrator to photoshop.
It's been years since I worked on a Mac, but I think that if you drag and drop into Photoshop it will be as an eps format, and if you press command while you do it it will be as paths.
It's the same for PC except ctrl is pressed.
If that doesn't help any I am out of ideas. Maybe a mac user would be of more use to you.