How can I open related windows of the same app in the same full screen workspace? For example, in Safari, when in fullscreen mode, if I click on Preferences it opens the window in another desktop.
You can't. Fullscreen Mode in Lion moves the given window to its own Space to be presented full-screen. Any other window created by the same application defaults to the Primary ("Desktop") Space.
An obvious workaround while browsing in Safari is to open new pages in tabs rather than windows, but that doesn't apply to the Preferences (or any other app-) window.