To migrate a single thread, you will need to migrate the whole program -- along with any opened resources. Keep in mind that a thread can have access to all memory and resources of the JVM. So, the whole JVM will need to be suspended, and then resumed on the other machine (including any opened resources).
Quite frankly, I don't think it can be done. But these days, with virtualization, I would not be surprised if someone releases a product to "VMotion" between anything these days.
Take what William said and do some research. You will need to make anything that needs to go to the other device Serializable. If you don't know what that is, or how to do it then you should read this as well as any Tutorials you can find. What you should do for practice is start your application running, serialize it, close it, start up a new VM, deserialize the old application, and continue running from where you left off. If you properly serialize things (and take care of those situations where serialization is not possible or practicle) then you should be able to do this any number of times.
Then it is just a matter of generating a protocol to move from one location to another. I am not familiar with J2ME so I don't know what the best method will be for that, but if it were me - once I was done with the above steps, I would then research what people are using for communicating binary data between J2ME applications. When I knew this I could use it to transfer the serialized classes from above from one device to another then run it.
As for JavaGo - Don't know what that is, if you have a reference you can point to then that would help - or if it has a tutorial/contact/forum resources that you might be able to use to get more targeted help on that product, then perhaps you should use them.
Ok, no serializing on J2ME will hurt you, but not kill you. You should understand the concepts - and be able to do it successfully in JavaSE. Then, when you know how it works in general you will have to roll your own. This sounds hard - and it probably is. The DataOutputStream and DataInputStream will be your friends. I did a quick google for J2ME Serialization and found a hand full of resources demonstrating how it can be done. But I wouldn't suggest doing it until you understand how Serialization works in general first (for example, try the built in serialization with different versions of JVMs on different machines).
It looks like JavaGo requires JavaSE serialization, so no, you can't use that on J2ME. It also looks like it hasn't been updated since 2005, so I wouldn't suggest using it on modern JVMs with JavaSE either.