If you want, you can try event handler. I use event handler a lot as you can do a lot stuff you cannot in the SPD workflow. For your reference, see these links:
http://msdn.microsoft.com/en-us/library/ms453149.aspx
http://weblogs.asp.net/vikram/archive/2009/01/07/Sharepoint-Adding-event-handler-to-the-list-with-the-help-of-a-generic-event-handler.aspx
If you still want to use SPD workflow, maybe you can try to create a calculated field in both lists to concatenate the values from the fields.