Is it possible to convert window into tab? I can drag a tab out of window, and it becomes independent window in Safari, Finder and other apps that support tabs. Is it possible to reverse this operation, convert window into tab by dragging it to another window?
You need to drag a tab - Safari won't let you drag an entire window into another one.  You can hit ⌘T to create a new empty tab (thus making the tab interface visible), then drag your original tab to the other window.