Paul,
Yes this can be done. Note that you will need to be the owner of the To Do workitem AND have a license that allows you access to Projects, otherwise you will not see them when performing the following...
Steps to move the To Do to a Specific Project...
1 - Highlight the To Do workitem
2 - From the Menu ribbon above, select the Misc link and click on MOVE
3 - A 'Select Work Item' pop up will appear and you will be able to search for and select the Project you want to link this To do to.
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