This trick uses OS X’s superb search in menus feature and since all your mail folders are available as menus entries under Message > Move To, it makes it really quick and easy to perform this operation.

If you use Gmail, remember that labels are available as folder so think of this as a less elegant way to label your messages.

1. Press Cmd-? or Cmd-Shift-/ to access the Help > Search menu. ¹
2. Type in the name of your folder.
3. Press arrow down once for Move To or twice for Copy To and hit return.

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1. You might need to enable the shortcut in System Preferences > Keyboard > Keyboard Shortcuts > Application Shortcuts > All Applications > Show Help menu.